کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5106354 | 1481431 | 2017 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Nowcasting BRIC+M in real time
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
Given the growing importance of emerging market economies (EMEs) in driving global GDP growth, timely and accurate assessments of current and future economic activity in EMEs are important for policy-makers not only in these countries, but also in advanced economies. This paper uses state-of-the-art dynamic factor models (DFMs) to nowcast real GDP growth for Brazil, Russia, India, China, and Mexico (“BRIC+M”). The DFM framework is particularly suitable for EMEs, as it enables the efficient handling of data series that are characterized by different publication lags, frequencies, and sample lengths. It also allows the extraction of model-based “news” from a data release and the assessment of the impact of such “news” on nowcast revisions. Overall, we find that the DFMs generally display a good directional accuracy and provide reliable nowcasts for GDP growth. Furthermore, the “news” pertaining to domestic indicators is the main driver of changes in nowcast revisions, while exogenous variables play a relatively minor role.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 33, Issue 4, OctoberâDecember 2017, Pages 915-935
Journal: International Journal of Forecasting - Volume 33, Issue 4, OctoberâDecember 2017, Pages 915-935
نویسندگان
Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha,