IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Nowcasting Chinese GDP: Information Content of Economic and Financial Data

  • Matthew S. Yiu

    (Hong Kong Monetary Authority)

  • Kenneth K. Chow

    (Hong Kong Institute for Monetary Research)

Registered author(s):

    This paper applies the factor model proposed by Giannone, Reichlin, and Small (2005) on a large data set to nowcast (i.e. current-quarter forecast) the annual growth rate of China¡¦s quarterly GDP. The data set contains 189 indicator series of several categories, such as prices, industrial production, fixed asset investment, external sector, money market and financial market. This paper also applies Bai and Ng¡¦s criteria (2002) to determine the number of common factors in the factor model. The identified model generates out-of-sample nowcasts for China's GDP with smaller mean squared forecast errors than those of the Random Walk benchmark. Moreover, using the factor model, we find that interest rate data is the single most important block in estimating current-quarter GDP in China. Other important blocks are consumer and retail prices data and fixed asset investment indicators.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.hkimr.org/uploads/publication/75/ub_full_0_2_268_wp-no-04_2011-final-.pdf
    Download Restriction: no

    Paper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 042011.

    as
    in new window

    Length: 26 pages
    Date of creation: Feb 2011
    Date of revision:
    Handle: RePEc:hkm:wpaper:042011
    Contact details of provider: Postal: 55th Floor , Two International Finance Centre , 8 Finance Street , Central, Hong Kong
    Phone: (852)2878 1978
    Fax: (852)2878 7006
    Web page: http://www.hkimr.org
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:hkm:wpaper:042011. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (HKIMR)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.