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

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Author Info
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/Pages/Article____67857.aspx
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Publisher 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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Related research
Keywords: Forecasting; financial markets; economic growth; small open economy;

Find related papers by JEL classification:
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation
E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2009-12-4.

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