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Now-casting Irish GDP

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  • 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. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 10-251, KOF Swiss Economic Institute, ETH Zurich.
  2. McCarthy, Colm, 2004. "Volatility in Irish Quarterly Macroeconomic Data," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), Economic and Social Research Institute (ESRI), vol. 2004(1-Spring), pages 1-9.
  3. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series, European Central Bank 0276, European Central Bank.
  4. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print, HAL peer-00844811, HAL.
  5. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
  6. Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 164, Money Macro and Finance Research Group.
  7. Angelini, Elena & Camba-Méndez, Gonzalo & Giannone, Domenico & Rünstler, Gerhard & Reichlin, Lucrezia, 2008. "Short-term forecasts of euro area GDP growth," Working Paper Series, European Central Bank 0949, European Central Bank.
  8. repec:cbi:wpaper:10/rt/06 is not listed on IDEAS
  9. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 304-314, January.
  10. 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), Economic and Social Research Institute (ESRI), vol. 2008(3-Autumn).
  11. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  12. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2005. "The generalised dynamic factor model: one sided estimation and forecasting," ULB Institutional Repository 2013/10129, ULB -- Universite Libre de Bruxelles.
  13. 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.
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Cited by:
  1. Bessec, M., 2012. "Short-term forecasts of French GDP: a dynamic factor model with targeted predictors," Working papers, Banque de France 409, Banque de France.
  2. Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers, Society for Economic Dynamics 555, Society for Economic Dynamics.
  3. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print, HAL hal-00844811, HAL.
  4. Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 10-251, KOF Swiss Economic Institute, ETH Zurich.
  5. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7883, C.E.P.R. Discussion Papers.
  6. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers, University of Oxford, Department of Economics 674, University of Oxford, Department of Economics.
  7. 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, Central Bank of Luxembourg 75, Central Bank of Luxembourg.
  8. Sabel, C.E. & Kihal, W. & Bard, D. & Weber, C., 2013. "Creation of synthetic homogeneous neighbourhoods using zone design algorithms to explore relationships between asthma and deprivation in Strasbourg, France," Social Science & Medicine, Elsevier, Elsevier, vol. 91(C), pages 110-121.
  9. Liebermann, Joelle, 2011. "Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters," Research Technical Papers 3/RT/11, Central Bank of Ireland.
  10. Lucrezia Reichlin, 2010. "Comment on "Globalization, the Business Cycle, and Macroeconomic Monitoring"," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER International Seminar on Macroeconomics 2010, pages 287-298 National Bureau of Economic Research, Inc.
  11. Conefrey, Thomas & Liebermann, Joelle, 2013. "A Monthly Business Cycle Indicator for Ireland," Economic Letters 03/EL/13, Central Bank of Ireland.
  12. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers, Central Bank of Luxembourg 82, Central Bank of Luxembourg.
  13. Liebermann, Joëlle, 2012. "Short-term forecasting of quarterly gross domestic product growth," Quarterly Bulletin Articles, Central Bank of Ireland, pages 74-84, February.
  14. Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers, National Institute of Public Finance and Policy 11/90, National Institute of Public Finance and Policy.

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