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The D-model for GDP nowcasting

Author

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  • Stavros Degiannakis

    (Bank of Greece)

Abstract

The paper provides a disaggregated mixed frequency framework for the estimation of GDP. The GDP is disaggregated into components that can be forecasted based on information available at higher sampling frequency; i.e. monthly, weekly or daily. The model framework is applied for Greek GDP nowcasting. The results provide evidence that the more accurate nowcasting estimations require i) the disaggregation of GDP, ii) the use of a multilayer mixed frequency framework, iii) the inclusion of financial information on a daily frequency. The simulation study provides evidence in favor of the disaggregation into components despite the inclusion of multiple sources of forecast errors.

Suggested Citation

  • Stavros Degiannakis, 2023. "The D-model for GDP nowcasting," Working Papers 317, Bank of Greece.
    • Handle: RePEc:bog:wpaper:317
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    File URL: https://www.bankofgreece.gr/Publications/Paper20232317.pdf
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    Cited by:

    1. Yunxu Wang & Chi-Wei Su & Yuchen Zhang & Oana-Ramona Lobonţ & Qin Meng, 2023. "Effectiveness of Principal-Component-Based Mixed-Frequency Error Correction Model in Predicting Gross Domestic Product," Mathematics, MDPI, vol. 11(19), pages 1-14, September.

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    Keywords

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    JEL classification:

    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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