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Nowcasting with the help of foreign indicators: The case of Mexico

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  • Caruso, Alberto

Abstract

I propose an econometric model to interpret the flow of macroeconomic data releases that are useful to assess the state of the Mexican economy. I estimate the relevance of both Mexican and US indicators for predicting Mexican GDP, using a nowcasting model that can be continuously updated as new data are released. The model produces forecasts that have better accuracy than Surveys of Professional Forecasters, and shows the high relevance of US data in the real-time process of forecast updating. These results encourage a more frequent use of external indicators in short-term GDP forecasting in small open economies.

Suggested Citation

  • Caruso, Alberto, 2018. "Nowcasting with the help of foreign indicators: The case of Mexico," Economic Modelling, Elsevier, vol. 69(C), pages 160-168.
  • Handle: RePEc:eee:ecmode:v:69:y:2018:i:c:p:160-168
    DOI: 10.1016/j.econmod.2017.09.017
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    Cited by:

    1. Caruso, Alberto, 2019. "Macroeconomic news and market reaction: Surprise indexes meet nowcasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1725-1734.
    2. Oscar de Jesús Gálvez-Soriano, 2018. "Nowcasting Mexican GDP using Factor Models and Bridge Equations," Working Papers 2018-06, Banco de México.
    3. Claveria, Oscar & Monte, Enric & Torra, Salvador, 2020. "Economic forecasting with evolved confidence indicators," Economic Modelling, Elsevier, vol. 93(C), pages 576-585.

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