Nowcasting German GDP: Foreign factors, financial markets, and model averaging

被引：9

作者：

Andreini, Paolo ^{[1
]}

Hasenzagl, Thomas ^{[2
,3
]}

Reichlin, Lucrezia ^{[4
,5
]}

Senftleben-Koenig, Charlotte ^{[6
]}

Strohsal, Till ^{[7
,8
]}

机构：

[1] RavenPack Int SL, Marbella, Spain

[2] Univ Minnesota, Minneapolis, MN USA

[3] Fed Reserve Bank Minneapolis, Minneapolis, MN USA

[4] London Business Sch, London, England

[5] Now Casting Econ, London, England

[6] German Fed Minist Econ Affairs & Climate Act, Berlin, Germany

[7] German Fed Chancellery, Berlin, Germany

[8] Free Univ Berlin, Dept Econ, Berlin, Germany

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 2023年 / 39卷 / 01期

关键词：

Nowcasting; Dynamic Factor Model; News index; German national accounts; State space models; Multivariate time series; Macroeconomic forecasting; FORECASTS;

D O I：

10.1016/j.ijforecast.2021.11.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops a nowcasting model for the German economy. The model out-performs a number of alternatives and produces forecasts not only for GDP but also for other key variables. We show that the inclusion of a foreign factor improves the model's performance, while financial variables do not. Additionally, a comprehensive model averaging exercise reveals that factor extraction in a single model delivers slightly better results than averaging across models. Finally, we estimate a "news"index for the German economy in order to assess the overall performance of the model beyond forecast errors in GDP. The index is constructed as a weighted average of the nowcast errors related to each variable included in the model.(c) 2021 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

引用

页码：298 / 313

页数：16

共 32 条

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