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Now-casting Irish GDP

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Author Info

  • D'Agostino, Antonello

    (Central Bank and Financial Services Authority of Ireland)

  • McQuinn, Kieran

    (Central Bank and Financial Services Authority of Ireland)

  • O'Brien, Derry

    (Central Bank and Financial Services Authority of Ireland)

Abstract

In this paper we present "now-casts" of Irish GDP using timely data from a panel data set of 41 different variables. The approach seeks to resolve two issues which commonly confront forecastors of GDP - how to parsimoniously avail of the many different series, which can potentially influence GDP and how to reconcile the within-quarterly release of many of these series with the quarterly estimates of GDP? The now-casts in this paper are generated by firstly, using dynamic factor analysis to extract a common factor from the panel data set and, secondly, through use of bridging equations to relate the monthly data to the quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the results of the now-casting exercise are compared with those of a standard benchmark model.

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Bibliographic Info

Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 9/RT/08.

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Length: 24 pages
Date of creation: Nov 2008
Date of revision:
Handle: RePEc:cbi:wpaper:9/rt/08

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References

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  1. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  2. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
  3. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
  4. Gerhard Rünstler & Franck Sédillot, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 276, European Central Bank.
  5. Elena Angelini & Gonzalo Camba-Méndez & Domenico Giannone & Gerhard Rünstler & Lucrezia Reichlin, 2008. "Short-term forecasts of euro area GDP growth," Working Paper Series 949, European Central Bank.
  6. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
  7. Marie Diron, 2006. "Short-term forecasts of euro area real GDP growth - an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank.
  8. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
  9. McCarthy, Colm, 2004. "Volatility in Irish Quarterly Macroeconomic Data," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2004(1-Spring), pages 1-9.
  10. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  11. Quill, Patrick, 2008. "An Analysis of Revisions to Growth Rates in the Irish Quarterly National Accounts," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2008(3-Autumn).
  12. Kitchen, John & Monaco, Ralph, 2003. "Real-Time Forecasting in Practice: The U.S. Treasury Staff's Real-Time GDP Forecast System," MPRA Paper 21068, University Library of Munich, Germany, revised Oct 2003.
  13. McCarthy, Colm, 2004. "Volatility in Irish quarterly macroeconomic data," Open Access publications from University College Dublin urn:hdl:10197/564, University College Dublin.
  14. Bermingham, Colin, 2006. "An Examination of Data Revisions in the Quarterly National Accounts," Research Technical Papers 10/RT/06, Central Bank of Ireland.
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Cited by:
  1. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
  2. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  3. Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Nowcasting," Working Paper Series 1275, European Central Bank.
  4. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
  5. Liebermann, Joëlle, 2012. "Short-term forecasting of quarterly gross domestic product growth," Quarterly Bulletin Articles, Central Bank of Ireland, pages 74-84, February.
  6. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
  7. Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers 11/90, National Institute of Public Finance and Policy.
  8. Lucrezia Reichlin, 2010. "Comment on "Globalization, the Business Cycle, and Macroeconomic Monitoring"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 287-298 National Bureau of Economic Research, Inc.
  9. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
  10. Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers 555, Society for Economic Dynamics.

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