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Using the Flow of High Frequency Information for Short Term Forecasting of Economic Activity in Argentina

  • Laura D’Amato

    (Central Bank of Argentina)

  • Lorena Garegnani

    (Central Bank of Argentina)

  • Emilio Blanco

    (Central Bank of Argentina)

We exploit the richness of a large data set of daily and monthly business cycle indicators by pooling them to produce Nowcast of contemporaneous real GDP growth. We conduct predictions based on a pooling of bivariate forecasts which uses these indicators as predictors of GDP (Nowcast with pooling). We also conduct a Nowcast exercise with factors for a restricted subset of business cycle indicators. When comparing the predictive accuracy of Nowcast with pooling and with factors with that of an AR(1) model, only the Nowcast with pooling outperforms the AR(1), indicating that the use of information released within the quarter helps to improve GDP growth prediction. The methodology then offers an encouraging and valuable approach to provide timely information for policy decision making.

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File URL: http://www.bcra.gov.ar/pdfs/investigaciones/64_Damato.pdf
File Function: Spanish version (versión en Español)
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Article provided by Central Bank of Argentina, Economic Research Department in its journal Ensayos Económicos.

Volume (Year): 1 (2011)
Issue (Month): 64 (October - December)
Pages: 7-33

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Handle: RePEc:bcr:ensayo:v:1:y:2011:i:64:p:7-33
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  1. Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
  2. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
  3. David Hendry & Michael Clements, 2001. "Pooling of Forecasts," Economics Series Working Papers 2002-W09, University of Oxford, Department of Economics.
  4. Croushore, Dean, 2006. "Forecasting with Real-Time Macroeconomic Data," Handbook of Economic Forecasting, Elsevier.
  5. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  6. Drechsel, Katja & Maurin, Laurent, 2008. "Flow of conjunctural information and forecast of euro area economic activity," Working Paper Series 0925, European Central Bank.
  7. Laura D´Amato & Lorena Garegnani & Emilio Blanco, 2008. "Forecasting Inflation in Argentina: Individual Models or Forecast Pooling?," BCRA Working Paper Series 200835, Central Bank of Argentina, Economic Research Department.
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