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Nowcasting norwegian GDP: the role of asset prices in a small open economy

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  • Knut Aastveit

    ()

  • Tørres Trovik

Abstract

This paper finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. Other important blocks of data are labor market data and industrial production indicators. We use an approximate dynamic factor model that is able to handle new information as it is released, thus the marginal impact on mean square nowcasting error can be studied for a large number of variables. We use a panel of 148 non-synchronous variables covering a broad spectrum of the Norwegian economy. The strong impact from financial data is due to an ability of the market clearing process to impart information about the real activity in Norway in a timely manner.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 42 (2012)
Issue (Month): 1 (February)
Pages: 95-119

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Handle: RePEc:spr:empeco:v:42:y:2012:i:1:p:95-119

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Related research

Keywords: Forecasting; Financial markets; Monetary policy; Factor models; Small open economy; C33; C53; E52; G14;

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Citations

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Cited by:
  1. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2012. "Does Forecast Combination Improve Norges Bank Inflation Forecasts?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 163-179, 04.
  2. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper, Norges Bank 2014/02, Norges Bank.
  3. Bańbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," Working Paper Series 1275, European Central Bank.
  4. Boriss Siliverstovs & Konstantin A. Kholodilin, 2012. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(4), pages 429-444, July.
  5. Barhoumi, K. & Rünstler, G. & Cristadoro, R. & Den Reijer, A. & Jakaitiene, A. & Jelonek, P. & Rua, A. & Ruth, K. & Benk, S. & Van Nieuwenhuyze, C., 2008. "Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise," Working papers, Banque de France 215, Banque de France.
  6. Kjetil Martinsen & Francesco Ravazzolo & Fredrik Wulfsberg, 2011. "Forecasting macroeconomic variables using disaggregate survey data," Working Paper, Norges Bank 2011/04, Norges Bank.
  7. Aastveit, Knut Are & Trovik, Tørres, 2014. "Estimating the output gap in real time: A factor model approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 54(2), pages 180-193.
  8. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers, Czech National Bank, Research Department 2013/06, Czech National Bank, Research Department.

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