Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models

Monetary policy making requires a correct and timely assessment of current macroeconomic conditions. While the main source of macroeconomic data is quarterly National Accounts, often published with a significant lag, higher frequency business cycle indicators are increasingly available. Taking this...

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Autores principales: Blanco, Emilio, D’Amato, Laura, Dogliolo, Fiorella, Garegnani, María Lorena
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2020
Materias:
Ciencias Económicas
Nowcasting
Dynamic factor models
Forecast pooling
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/121678
https://aaep.org.ar/anales/works/works2020/DAmato2020.pdf
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-121678
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Nowcasting
Dynamic factor models
Forecast pooling
spellingShingle Ciencias Económicas
Nowcasting
Dynamic factor models
Forecast pooling
Blanco, Emilio
D’Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models
topic_facet Ciencias Económicas
Nowcasting
Dynamic factor models
Forecast pooling
description Monetary policy making requires a correct and timely assessment of current macroeconomic conditions. While the main source of macroeconomic data is quarterly National Accounts, often published with a significant lag, higher frequency business cycle indicators are increasingly available. Taking this into account, central banks have adopted nowcasting as a useful tool for having an immediate and more accurate perception of economic conditions. In this paper, we extend the use of nowcasting tools to produce early indicators of the evolution of two components of aggregate domestic demand: consumption and investment. The exercise uses a broad and restricted set of indicators to construct different dynamic factor models, as well as a pooling of models in the case of investment. Finally, we compare different approaches in a pseudo-real time out-of-sample exercise and evaluate their predictive performance.
format Objeto de conferencia
Objeto de conferencia
author Blanco, Emilio
D’Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
author_facet Blanco, Emilio
D’Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
author_sort Blanco, Emilio
title Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models
title_short Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models
title_full Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models
title_fullStr Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models
title_full_unstemmed Nowcasting macroeconomic aggregates in Argentina: comparing the predictive ability of different models
title_sort nowcasting macroeconomic aggregates in argentina: comparing the predictive ability of different models
publishDate 2020
url http://sedici.unlp.edu.ar/handle/10915/121678
https://aaep.org.ar/anales/works/works2020/DAmato2020.pdf
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