Nowcasting: The real-time informational content of macroeconomic data

A formal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can hand...

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Bibliographic Details
Published inJournal of monetary economics Vol. 55; no. 4; pp. 665 - 676
Main Authors Giannone, Domenico, Reichlin, Lucrezia, Small, David
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.05.2008
Elsevier
Elsevier Sequoia S.A
SeriesJournal of Monetary Economics
Subjects
Data analysis
Economic forecasting
Economic forecasts
Factor analysis
Factor model
Forecasting
GDP
Gross Domestic Product
Information
Monetary policy
Nowcast
Real-time data
Release dates
Studies
C53
C33
E52
Factor model
Monetary policy
Forecasting
Real-time data
Nowcast
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Summary:A formal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized data-release dates, have a “jagged edge” across the most recent months.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0304-3932
1873-1295
DOI:10.1016/j.jmoneco.2008.05.010