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Nowcasting Real Gdp For Saudi Arabia

Author

Listed:
  • Ryadh M. Alkhareif

    (International Monetary Fund, and Saudi Arabia’s Ministry of Finance)

  • William Barnett

    (Department of Economics, The University of Kansas; Center for Financial Stability, New York City; IC2 Institute, University of Texas at Austin)

Abstract

The paper constructs monthly GDP nowcasts for Saudi Arabia by estimating a Generalized Dynamic Factor Model (GDFM) on a panel of 272 variables over the period from January 2010 to June 2018. The GDP nowcasts produced in this paper can accurately mimic GDP growth rates for Saudi Arabia, including for the non-oil sector. Our GDFM has outperformed other traditional models in tracking the business cycle in Saudi Arabia. In our view, the non-oil private sector GDP nowcasts provided in this paper can substitute the traditional set of indicators used to monitor monthly private sector activity.

Suggested Citation

  • Ryadh M. Alkhareif & William Barnett, 2020. "Nowcasting Real Gdp For Saudi Arabia," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202018, University of Kansas, Department of Economics, revised Nov 2020.
    • Handle: RePEc:kan:wpaper:202018
    as

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    File URL: http://www2.ku.edu/~kuwpaper/2020Papers/202018.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Nowcast; non-oil GDP; generalized dynamic factor model; principal components analysis.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E53 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Deposit Insurance
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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