Nowcasting: The real-time informational content of macroeconomic data

被引：516

作者：

Giannone, Domenico ^{[1
]}

Reichlin, Lucrezia ^{[1
]}

Small, David ^{[1
]}

机构：

[1] European Cent Bank, ECARES, D-60311 Frankfurt, Germany

来源：

JOURNAL OF MONETARY ECONOMICS | 2008年 / 55卷 / 04期

基金：

澳大利亚研究理事会;

关键词：

forecasting; monetary policy; factor model; real-time data; nowcast;

D O I：

10.1016/j.jmoneco.2008.05.010

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A tormal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized datarelease dates, have a "jagged edge" across the most recent months. (c) 2008 Elsevier BY. All rights reserved.

引用

页码：665 / 676

页数：12

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