Back to the Present: Learning about the Euro Area through a Now-casting Model

RePEc Short ID: pca1251
ORCID iD: 0000-0003-4411-9911

Cascaldi-Garcia, Danilo; Ferreira, Thiago Revil T.; Giannone, Domenico; Modugno, Michele

doi:10.17016/IFDP.2021.1313

Working Paper

Back to the Present: Learning about the Euro Area through a Now-casting Model

Abstract: We build a model for simultaneously now-casting economic conditions in the euro area and its three largest member countries--Germany, France, and Italy. The model formalizes how market participants and policymakers monitor the euro area by incorporating all market moving indicators in real time. We find that area wide and country-specific data provide informative signals to now-cast the economic conditions in the euro area and member countries. The model provides accurate predictions of economic conditions in real time over a period that covers the past three recessions.

Keywords: Now-casting; Euro area; Dynamic factor models;

JEL Classification: C33; C53; E37;

https://doi.org/10.17016/IFDP.2021.1313