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Discussion Paper
Monitoring Economic Conditions during a Government Shutdown

The recent partial shutdown of the federal government has disrupted publication schedules for many U.S. Census Bureau and Bureau of Economic Analysis (BEA) data releases. Most notably, the release of GDP for the fourth quarter of 2018—originally scheduled for January 30—has been postponed indefinitely. Even without the full slate of Census Bureau and BEA releases, forecasters have continued to make predictions for 2018:Q4 GDP growth; as of February 1, the New York Fed Staff Nowcast stands at 2.6 percent, the Atlanta Fed’s GDPNow stands at 2.5 percent, and the Blue Chip Financial ...
Liberty Street Economics , Paper 20190205

Working Paper
Forecasting Economic Activity with Mixed Frequency Bayesian VARs

Mixed frequency Bayesian vector autoregressions (MF-BVARs) allow forecasters to incorporate a large number of mixed frequency indicators into forecasts of economic activity. This paper evaluates the forecast performance of MF-BVARs relative to surveys of professional forecasters and investigates the influence of certain specification choices on this performance. We leverage a novel real-time dataset to conduct an out-of-sample forecasting exercise for U.S. real gross domestic product (GDP). MF-BVARs are shown to provide an attractive alternative to surveys of professional forecasters for ...
Working Paper Series , Paper WP-2016-5

Working Paper
Reconciled Estimates of Monthly GDP in the US

In the US, income and expenditure-side estimates of GDP (GDPI and GDPE) measure "true" GDP with error and are available at a quarterly frequency. Methods exist for using these proxies to produce reconciled quarterly estimates of true GDP. In this paper, we extend these methods to provide reconciled historical true GDP estimates at a monthly frequency. We do this using a Bayesian mixed frequency vector autoregression (MF-VAR) involving GDPE, GDPI, unobserved true GDP, and monthly indicators of short-term economic activity. Our MF-VAR imposes restrictions that reflect a measurement-error ...
Working Papers , Paper 22-01

Working Paper
Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates

Recent decades have seen advances in using econometric methods to produce more timely and higher-frequency estimates of economic activity at the national level, enabling better tracking of the economy in real time. These advances have not generally been replicated at the sub–national level, likely because of the empirical challenges that nowcasting at a regional level presents, notably, the short time series of available data, changes in data frequency over time, and the hierarchical structure of the data. This paper develops a mixed– frequency Bayesian VAR model to address common ...
Working Papers , Paper 22-06

Working Paper
The Importance of Updating: Evidence from a Brazilian Nowcasting Model

How often should we update predictions for economic activity? Gross domestic product is a quarterly variable disseminated usually a couple of months after the end of the quarter, but many other macroeconomic indicators are released with a higher frequency, and financial markets react very strongly to them. However, most of the professional forecasters, including the IMF, the OECD, and most central banks, tend to update their forecasts of economic activity only two to four times a year. The main exception is the Central Bank of Brazil which is responsible for collecting and publishing a daily ...
Finance and Economics Discussion Series , Paper 2014-94

Working Paper
A Nowcasting Model for Canada: Do U.S. Variables Matter?

We propose a dynamic factor model for nowcasting the growth rate of quarterly real{{p}}Canadian gross domestic product. We show that the proposed model produces more accurate nowcasts than those produced by institutional forecasters, like the Bank of Canada, the The Organisation for Economic Co-operation and Development (OECD), and the survey collected by Bloomberg, which reflects the median forecast of market participants. We show that including U.S. data in a nowcasting model for Canada dramatically improves its predictive accuracy, mainly because of the absence of timely production data ...
Finance and Economics Discussion Series , Paper 2016-036

Working Paper
Nowcasting Indonesia

We produce predictions of the current state of the Indonesian economy by estimating a dynamic factor model on a dataset of eleven indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators of current economic conditions, Indonesia presents additional challenges typical to emerging market economies where data are often scant and unreliable. By means of a pseudo-real-time forecasting exercise we show that our model outperforms univariate benchmarks, and it does comparably with ...
Finance and Economics Discussion Series , Paper 2015-100

Discussion Paper
Exploring the use of anonymized consumer credit information to estimate economic conditions: an application of big data

The emergence of high-frequency administrative data and other big data offers an opportunity for improvements to economic forecasting models. This paper considers the potential advantages and limitations of using information contained in anonymized consumer credit reports for improving estimates of current and future economic conditions for various geographic areas and demographic markets. Aggregate consumer credit information is found to be correlated with macroeconomic variables such as gross domestic product, retail sales, and employment and can serve as leading indicators such that lagged ...
Consumer Finance Institute discussion papers , Paper 15-5

Working Paper
Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR

We use a mixed-frequency vector autoregression to obtain intraquarter point and density forecasts as new, high frequency information becomes available. This model, delineated in Ghysels (2016), is specified at the lowest sampling frequency; high frequency observations are treated as different economic series occurring at the low frequency. As this type of data stacking results in a high-dimensional system, we rely on Bayesian shrinkage to mitigate parameter proliferation. We obtain high-frequency updates to forecasts by treating new data releases as conditioning information. The same ...
Working Papers , Paper 2015-030

Working Paper
Economic Forecasting in Theory and Practice : An Interview with David F. Hendry

David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This ...
International Finance Discussion Papers , Paper 1184


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