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Forecasting Czech GDP Using Mixed-Frequency Data Models

Author

Listed:
  • Michal Franta

    () (Czech National Bank)

  • David Havrlant

    () (Czech National Bank)

  • Marek Rusnák

    () (Czech National Bank
    Charles University)

Abstract

Abstract In this paper we use a battery of various mixed-frequency data models to forecast Czech GDP growth. The models employed are mixed-frequency vector autoregressions, mixed-data sampling models, and the dynamic factor model. Using a dataset of historical vintages of unrevised macroeconomic and financial data, we evaluate the performance of these models over the 2005–2014 period and compare them with the Czech National Bank’s macroeconomic forecasts. The results suggest that for shorter forecasting horizons the CNB forecasts outperform forecasts based on the mixed-frequency data models. At longer horizons, mixed-frequency vector autoregressions and the dynamic factor model are able to perform similarly or slightly better than the CNB forecasts. Furthermore, moving away from point forecasts, we also explore the potential of density forecasts from Bayesian mixed-frequency vector autoregressions.

Suggested Citation

  • Michal Franta & David Havrlant & Marek Rusnák, 2016. "Forecasting Czech GDP Using Mixed-Frequency Data Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(2), pages 165-185, December.
  • Handle: RePEc:spr:jbuscr:v:12:y:2016:i:2:d:10.1007_s41549-016-0008-z
    DOI: 10.1007/s41549-016-0008-z
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    Cited by:

    1. repec:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-017-0022-9 is not listed on IDEAS
    2. Martin Feldkircher & Florian Huber & Josef Schreiner & Marcel Tirpák & Peter Tóth & Julia Wörz, 2015. "Bridging the information gap: small-scale nowcasting models of GDP growth for selected CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 56-75.
    3. repec:cnb:ocpubv:rb16/1 is not listed on IDEAS
    4. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP
      [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]
      ," MPRA Paper 63713, University Library of Munich, Germany.

    More about this item

    Keywords

    Short-term forecasting; Real-time data; GDP; Mixed-frequency data;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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