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Nowcasting Macroeconomic Variables Using High-Frequency Fiscal Data

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  • Robert Ambrisko

Abstract

Macroeconomic data are published with a time lag, making room for nowcasting macroeconomic variables using fiscal data. This is because a) monthly and daily fiscal data are available from the state budget in a very timely manner and b) many fiscal data are the function of macroeconomic variables. I employ two nowcasting models, bridge equations and MIDAS regressions, which link quarterly macroeconomic variables to monthly fiscal data for the Czech Republic. Bridge equations are found to be particularly suitable for nowcasting the wage bill using social contributions, achieving a 2% improvement in the root mean square error (RMSE) of one-quarter recursive forecasts compared to historical CNB forecasts. Further, I propose a tractable method for incorporating daily data into the nowcasting models, relying on STL decomposition by Cleveland et al. (1990). Depending on the timing, the RMSE for the wage bill can be up to 4% lower when the available daily data on social contributions are taken into account in the nowcasting models too.

Suggested Citation

  • Robert Ambrisko, 2022. "Nowcasting Macroeconomic Variables Using High-Frequency Fiscal Data," Working Papers 2022/5, Czech National Bank.
    • Handle: RePEc:cnb:wpaper:2022/5
    as

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    References listed on IDEAS

    as
    1. Pedregal, Diego J. & Pérez, Javier J., 2010. "Should quarterly government finance statistics be used for fiscal surveillance in Europe?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 794-807, October.
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    3. Stylianos Asimakopoulos & Joan Paredes & Thomas Warmedinger, 2020. "Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data," Scandinavian Journal of Economics, Wiley Blackwell, vol. 122(1), pages 369-390, January.
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    5. Onorante, Luca & Pedregal, Diego J. & Pérez, Javier J. & Signorini, Sara, 2010. "The usefulness of infra-annual government cash budgetary data for fiscal forecasting in the euro area," Journal of Policy Modeling, Elsevier, vol. 32(1), pages 98-119, January.
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    7. Perez, Javier J., 2007. "Leading indicators for euro area government deficits," International Journal of Forecasting, Elsevier, vol. 23(2), pages 259-275.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bridge equations; daily data; fiscal; midas; nowcasting; real-time data; short-term forecasting; STL;
    All these keywords.

    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
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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