Title: Nowcast of Macroeconomic Aggregates in Argentina: Comparing the Predictive Capacity of Different Models
Abstract:A correct and timely assessment of current macroeconomic conditions is a fundamental input for making monetary policy decisions. Although the main source of macroeconomic data comes from the System of...A correct and timely assessment of current macroeconomic conditions is a fundamental input for making monetary policy decisions. Although the main source of macroeconomic data comes from the System of National Accounts - published quarterly and with a significant lag - there is a growing availability of high-frequency economic indicators. In this context, central banks have adopted Nowcasting as a useful tool for more immediate and more precise monitoring of current developments. In this paper, the use of Nowcasting tools is extended to produce forward estimates of two components of domestic aggregate demand: consumption and investment. The exercise uses various sets of indicators, broad and restricted, to construct different dynamic factor models, as well as a combination of forecasts for investment. Finally, the different models are compared in a pseudo-real time exercise and their out of sample performance is evaluated.Read More
Publication Year: 2021
Publication Date: 2021-01-01
Language: en
Type: preprint
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