| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15926 |
| DP15926 Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data | |
| Juan Antolin-Diaz; Thomas Drechsel; Ivan Petrella | |
| 发表日期 | 2021-03-15 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | A key question for households, firms, and policy makers is: how is the economy doing now? We develop a Bayesian dynamic factor model and compute daily estimates of US GDP growth. Our framework gives prominence to features of modern business cycles absent in linear Gaussian models, including movements in long-run growth, time-varying uncertainty, and fat tails. We also incorporate newly available high-frequency data on consumer behavior. The model beats benchmark econometric models and survey expectations at predicting GDP growth over two decades, and advances our understanding of macroeconomic data during the recession of spring 2020. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Nowcasting Daily economic index Dynamic factor models Real-time data Bayesian methods Fat tails |
| URL | https://cepr.org/publications/dp15926-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544917 |
| 推荐引用方式 GB/T 7714 | Juan Antolin-Diaz,Thomas Drechsel,Ivan Petrella. DP15926 Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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