Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229082
Authors: 
Foroni, Claudia
Marcellino, Massimiliano
Stevanovic, Dalibor
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2468
Abstract: 
We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across different models, extending the model specification by adding MA terms, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track by a specific form of intercept correction. Among all these methods, adjusting the original nowcasts and forecasts by an amount similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best results for the US, notwithstanding the different source and characteristics of the financial crisis. In particular, the adjusted growth nowcasts for 2020Q1 get closer to the actual value, and the adjusted forecasts based on alternative indicators become much more similar, all unfortunately indicating a much slower recovery than without adjustment and very persistent negative effects on trend growth. Similar findings emerge also for the other G7 countries.
Subjects: 
Covid-19
Forecasting
GDP
Mixed-frequency
JEL: 
C53
E37
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4385-7
Document Type: 
Working Paper

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