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Nowcasting

Marta Bańbura, Domenico Giannone and Lucrezia Reichlin

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: This article presents a statistical framework for estimating the current state of the economy (together with the recent past and near future) in a way in which the latest releases of high-frequency economic data can be incorporated, and in a way in which the impact of the latest release on the forecast can be readily assessed (providing a narrative to the changes in the estimate/forecast over time as more information accrues). It is organized as follows. Section 2 defines the problem of nowcasting in general and relates it to the concept of news in macroeconomic data releases. Section 3 explains the details of the approach. Section 4 discusses related literature. Section 5 illustrates the characteristics of the model via an application to the nowcast of GDP and inflation in the euro area. Section 6 discusses issues for further research, while Section 7 concludes.

Keywords: Current economic state; Economic forecasting; Euro area; GDP; Inflation; Macroeconomic data (search for similar items in EconPapers)
Date: 2012-09
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Working Paper: Nowcasting (2010) Downloads
Working Paper: Nowcasting (2010) Downloads
Working Paper: Nowcasting (2010) Downloads
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