کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053129 | 1476505 | 2017 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper introduces a new nowcasting model of the French quarterly real GDP growth rate (MIBA), developed at the Banque de France and based on monthly business surveys. The model is designed to target initial announcements of GDP in a mixed-frequency framework. The selected equations for each forecast horizon are consistent with the time frame of real-time nowcasting exercises: the first one includes mainly information on the expected evolution of economic activity, while the second and third equations rely more on information on observed business outcomes. The predictive accuracy of the model increases over the forecast horizon, consistent with the gradual increase in available information. Furthermore, the model outperforms a wide set of alternatives, such as its previous version and MIDAS regressions, although not a specification including also hard data. Further research should evaluate the performance of the MIBA model with respect to promising alternative approaches for nowcasting GDP (e.g. mixed-frequency factor models with targeted predictors), and consider forecast combinations and density forecasts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 64, August 2017, Pages 26-39
Journal: Economic Modelling - Volume 64, August 2017, Pages 26-39
نویسندگان
Matteo Mogliani, Olivier Darné, Bertrand Pluyaud,