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Nowcasting

Author

Listed:
  • Marta Bańbura
  • Domenico Giannone
  • Lucrezia Reichlin

Abstract

This article presents a statistical framework for estimating the current state of the economy (together with the recent past and near future) in a way in which the latest releases of high-frequency economic data can be incorporated, and in a way in which the impact of the latest release on the forecast can be readily assessed (providing a narrative to the changes in the estimate/forecast over time as more information accrues). It is organized as follows. Section 2 defines the problem of nowcasting in general and relates it to the concept of news in macroeconomic data releases. Section 3 explains the details of the approach. Section 4 discusses related literature. Section 5 illustrates the characteristics of the model via an application to the nowcast of GDP and inflation in the euro area. Section 6 discusses issues for further research, while Section 7 concludes.

Suggested Citation

  • Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2012. "Nowcasting," ULB Institutional Repository 2013/204908, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/204908
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    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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