文章基本信息

标题：Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases
本地全文：下载
作者：Domenico Giannone ; Lucrezia Reichlin ; David H. Small 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：This paper formalizes the process of updating the nowcast and forecast on out- put and in°ation as new releases of data become available. The marginal contribu- tion of a particular release for the value of the signal and its precision is evaluated by computing \news" on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We ¯nd that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both in°ation variables and real variables and this e®ect is larger than that of the Employment Report. When we control for timeliness of the releases, the e®ect of hard data becomes sizeable. Prices and quantities a®ect the precision of the estimates of in°ation while GDP is only a®ected by real variables and interest rates.
关键词：Forecasting; Monetary Policy; Factor Model; Real Time Data; Large;Data Sets; News