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Nowcasting Mexican GDP

Listed author(s):
  • Alberto Caruso

In this paper I study the flow of conjunctural data relevant to assess the state of theMexican economy. I reconstruct the flow of releases that are most frequently monitored bymarket participants, economic commentators and policy makers. Given the close linkages withthe US economy, I take into account both US and Mexican data. Following the literature onnowcasting, I jointly analyse these data in a model that is continuously updated as new data getreleased. The model can be used to assess the current macroeconomic conditions (predictingthe present) of the Mexican economy and to evaluate the importance of each macroeconomicdata release. I find that the model produces forecasts whose accuracy is similar to that ofinstitutional and judgemental forecasts, and I document the importance of considering US data.

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/219871/3/2015-40-CARUSO-nowcasting.pdf
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Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2015-40.

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Length: 29 p.
Date of creation: Oct 2015
Publication status: Published by:
Handle: RePEc:eca:wpaper:2013/219871
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Av. F.D., Roosevelt, 39, 1050 Bruxelles

Phone: (32 2) 650 30 75
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Web page: http://difusion.ulb.ac.be

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  1. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
  2. Liebermann, Joëlle, 2012. "Short-term forecasting of quarterly gross domestic product growth," Quarterly Bulletin Articles, Central Bank of Ireland, pages 74-84, February.
  3. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2009. "Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 595-611.
  4. David de Antonio Liedo, 2014. "Nowcasting Belgium," Working Paper Research 256, National Bank of Belgium.
  5. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
  6. William Maloney & Daniel Lederman & Luis Servén, 2005. "Lessons from NAFTA: For Latin America and the Caribbean," IDB Publications (Books), Inter-American Development Bank, number 59478, February.
  7. Knut Aastveit & Tørres Trovik, 2012. "Nowcasting norwegian GDP: the role of asset prices in a small open economy," Empirical Economics, Springer, vol. 42(1), pages 95-119, February.
  8. Coutino, Alfredo, 2005. "On the use of high-frequency economic information to anticipate the current quarter GDP: A study case for Mexico," Journal of Policy Modeling, Elsevier, vol. 27(3), pages 327-344, April.
  9. Daniela Bragoli & Luca Metelli & Michele Modugno, 2015. "The importance of updating: Evidence from a Brazilian nowcasting model," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(1), pages 5-22.
  10. Sebastian Sosa, 2008. "External Shocks and Business Cycle Fluctuations in Mexico; How Important are U.S. Factors?," IMF Working Papers 08/100, International Monetary Fund.
  11. Antonello D'Agostino & Kieran McQuinn & Derry O’Brien, 2012. "Nowcasting Irish GDP," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2012(2), pages 21-31.
  12. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
  13. repec:idb:brikps:59478 is not listed on IDEAS
  14. repec:hal:journl:peer-00844811 is not listed on IDEAS
  15. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
  16. Matteo Luciani & Lorenzo Ricci, 2014. "Nowcasting Norway," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
  17. Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
  18. Ayhan Kose & Christopher M Towe & Guy M Meredith, 2004. "How Has Nafta Affected the Mexican Economy? Review and Evidence," IMF Working Papers 04/59, International Monetary Fund.
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