دانلود مقاله ISI انگلیسی شماره 101488
عنوان انگلیسی
Nowcasting BRIC+M in real time
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
101488 2017 21 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Journal of Forecasting, Volume 33, Issue 4, October–December 2017, Pages 915-935

پیش نمایش مقاله
پیش نمایش مقاله

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.