Now-casting the Japanese economy
Now-casting the Japanese economy
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DOI：
10.1016/j.ijforecast.2016.11.004
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发表时间：
2017-04-01
影响因子：
7.9
通讯作者：
Bragoli, Daniela
中科院分区：
文献类型：
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作者：
Bragoli, Daniela
本文提出了一个正式的统计框架，用于实时监测日本当前的经济状况。我们确定了由市场参与者、统计机构、报纸和政策制定者不断监测的“市场变动”指标。这导致了大约30个变量的选择。我们跟踪发布日历，并使用实时数据的年份，以便重建在做出预测时可用的完全相同的信息集。这些变量用于估计动态因子模型（DFM），该模型在11年的历史时期内每次新数据发布时不断更新。我们的研究结果表明，提出的现铸模型在整个评估期间很好地跟踪了GDP的实现。由复杂而透明的模型所产生的预测，既可与市场预测相媲美，也可与专业预测相媲美。(C) 2016年国际预报员协会。Elsevier B.V.版权所有。
This paper proposes a formal statistical framework for the real-time monitoring of current economic conditions in Japan. We identify the 'market moving' indicators that are monitored constantly by market participants, statistical offices, newspapers, and policy makers. This results in the selection of around 30 variables. We track the release calendar and use vintages of real-time data in order to reconstruct the exact same information set that was available at the time when the forecasts were made. These variables are used to estimate a dynamic factor model (DFM) which is updated continuously at each new data release over a historical period of 11 years. Our results show that the proposed now-casting model tracks GDP realizations well throughout the evaluation period. The forecasts produced by the sophisticated yet transparent model are comparable with both the markets and the professional forecasts. (C) 2016 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.