Nowcasting Japan's GDP.
Nowcasting Japan's GDP.
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即时预测日本 GDP。
DOI：
10.1007/s00181-022-02301-w
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发表时间：
2023
影响因子：
3.2
通讯作者：
Tachi, Yuta
中科院分区：
文献类型：
--
作者：
Hayashi, Fumio;Tachi, Yuta
本文对日本实际GDP增长的临近预测进行了回溯测试。它有三个贡献：(i)使用真正的实时数据，（ii）实施一种新的修正分析方法，将临近预报的修正与新的观测结果和数据修正联系起来，以及（iii）将临近预报与每月预测范围内的市场共识预测作为基准。我们的“临近预测”的预测精度在大多数情况下（但不是全部）与市场共识的月度水平相当。我们对2011年3月地震的修正分析发现，临近预测是对震后汽车产量急剧下降的反应。相比之下，共识几乎没有变化，很可能是因为人们正确地认为这种下降是暂时的。COVID-19的发作引发了共识的急剧下降。尽管“软”（即基于调查的）指标及时发出了危险信号，但“临近预测”并没有立即做出全面反应，因为“硬”（即非基于调查的）指标需要一个月或更长时间才能显示出经济活动的急剧减少。
This paper backtests a nowcast of Japan’s real GDP growth. It has three contributions: (i) use of genuine real-time data, (ii) implementation of a new method for the revision analysis that relates the revision of the nowcast to not only new observations but also data revisions, and (iii) a benchmarking of the nowcast to a market consensus forecast at monthly forecasting horizons. Our nowcast’s forecast accuracy is comparable to that of the consensus at most, but not all, monthly horizons. Our revision analysis of the March 2011 earthquake finds the nowcast reacting to a steep post-quake decline in car production. In contrast, the consensus hardly budged, most likely because the decline was correctly viewed as temporary. The onset of COVID-19 triggers the consensus to take a precipitous descent. The nowcast, despite timely red flags from “soft” (i.e., survey-based) indicators, does not respond immediately in full, because it took a month or more for “hard” (i.e., non-survey-based) indicators to register sharply reduced economic activities.