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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, Research and Statistics Department.
    • Handle: RePEc:cnb:wpaper:2022/5
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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2022_05.pdf
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    References listed on IDEAS

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    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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