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Nowcasting Mexican GDP

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  • Alberto Caruso

Abstract

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.

Suggested Citation

  • Alberto Caruso, 2015. "Nowcasting Mexican GDP," Working Papers ECARES ECARES 2015-40, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/219871
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    References listed on IDEAS

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    Cited by:

    1. repec:spr:laecrv:v:26:y:2017:i:1:d:10.1007_s40503-017-0044-7 is not listed on IDEAS
    2. Bragoli, Daniela, 2017. "Now-casting the Japanese economy," International Journal of Forecasting, Elsevier, vol. 33(2), pages 390-402.
    3. Modugno, Michele & Soybilgen, Barış & Yazgan, Ege, 2016. "Nowcasting Turkish GDP and news decomposition," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1369-1384.
    4. repec:eee:intfor:v:33:y:2017:i:4:p:786-800 is not listed on IDEAS
    5. Bok, Brandyn & Caratelli, Daniele & Giannone, Domenico & Sbordone, Argia M. & Tambalotti, Andrea, 2017. "Macroeconomic nowcasting and forecasting with big data," Staff Reports 830, Federal Reserve Bank of New York.
    6. Daniela Bragoli & Jack Fosten, 2016. "Nowcasting Indian GDP," University of East Anglia School of Economics Working Paper Series 2016-06, School of Economics, University of East Anglia, Norwich, UK..
    7. repec:eee:intfor:v:33:y:2017:i:4:p:915-935 is not listed on IDEAS
    8. Dahlhaus, Tatjana & Guénette, Justin-Damien & Vasishtha, Garima, 2017. "Nowcasting BRIC+M in real time," International Journal of Forecasting, Elsevier, vol. 33(4), pages 915-935.
    9. repec:eee:ecmode:v:72:y:2018:i:c:p:99-108 is not listed on IDEAS
    10. Bragoli, Daniela & Modugno, Michele, 2017. "A now-casting model for Canada: Do U.S. variables matter?," International Journal of Forecasting, Elsevier, vol. 33(4), pages 786-800.

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