Working Paper: CEPR ID: DP14323
Authors: Paolo Andreini; Thomas Hasenzagl; Lucrezia Reichlin; Charlotte Senftleben-Knig; Till Strohsal
Abstract: This paper develops a nowcasting model for the German economy. The model outperforms a number of alternatives and produces forecasts not only for GDP but also for other key variables. We show that the inclusion of foreign variables improves the model’s performance, whilefinancial variables do not. Additionally, a comprehensive model averaging exercise reveals that factor extraction in a single model delivers slightly better results than averaging across models. Finally, we estimate a “news” index for the German economy constructed as a weighted average of the nowcast errors related to each variable included in the model.
Keywords: Nowcasting; Economics
JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| nowcasting model (C53) | forecasting GDP (F17) |
| nowcasting model (C53) | forecasting key variables (C53) |
| inclusion of foreign variables (C39) | model performance (C52) |
| new data release (Y10) | model forecasts (C53) |
| factor extraction in single model (C20) | forecast results (G17) |
| nowcasting model (C53) | forecast revisions (C53) |
| timely updates (G14) | informational advantage (D83) |