Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/202481
Authors: 
Blanco, Emilio
D'Amato, Laura
Dogliolo, Fiorella
Garegnani, María Lorena
Year of Publication: 
2017
Series/Report no.: 
Economic Research Working Papers 74
Abstract: 
Having a correct assessment of current business cycle conditions is one of the major challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare their relative forecasting ability using the Giacomini and White (2004) test and find no significant difference in predictive ability among them. Nevertheless a combination of them proves to significantly improve predictive performance.
Subjects: 
Nowcasting
dynamic factor models
forecast pooling
JEL: 
C22
C53
E37
Document Type: 
Working Paper

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