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Nowcasting Norwegian GDP: The role of asset prices in a small open economy

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  • Knut Are Aastveit

    ()
    (University of Oslo and Norges Bank (Central Bank of Norway))

  • Tørres G. Trovik

    (Norges Bank (Central Bank of Norway))

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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File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2007/WP-20079/
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Bibliographic Info

Paper provided by Norges Bank in its series Working Paper with number 2007/09.

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Length: 28 pages
Date of creation: 11 Jan 2008
Date of revision:
Handle: RePEc:bno:worpap:2007_09

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Keywords: Forecasting; financial markets; economic growth; small open economy;

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References

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  1. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
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  24. Panopoulou, Ekaterini, 2007. "Predictive financial models of the euro area: A new evaluation test," International Journal of Forecasting, Elsevier, vol. 23(4), pages 695-705.
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Citations

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Cited by:
  1. Karim Barhoumi & Szilard Benk & Riccardo Cristadoro & Ard Den Reijer & Audrone Jakaitiene & Piotr Jelonek & António Rua & Gerhard Rünstler & Karsten Ruth & Christophe Van Nieuwenhuyze, 2008. "Short-term forecasting of GDP using large monthly datasets - a pseudo real-time forecast evaluation exercise," Occasional Paper Series 84, European Central Bank.
  2. Martinsen, Kjetil & Ravazzolo, Francesco & Wulfsberg, Fredrik, 2014. "Forecasting macroeconomic variables using disaggregate survey data," International Journal of Forecasting, Elsevier, vol. 30(1), pages 65-77.
  3. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," CEPR Discussion Papers 7883, C.E.P.R. Discussion Papers.
  4. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank, Research Department.
  5. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
  6. 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, vol. 54(2), pages 180-193.
  7. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Does forecast combination improve Norges Bank inflation forecasts?," Working Paper 2009/01, Norges Bank.
  8. 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, vol. 232(4), pages 429-444, July.

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