Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

By Domenico Giannone, L. Reichlin, David H. Small. 2005

263 citations recorded by the source corpus.

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables and this effect is larger than that of the Employment Report. When we control for timeliness of the releases, the effect of hard data becomes sizeable. Prices and quantities affect the precision of the estimates of GDP while inflation is only affected by nominal variables and asset prices.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c6580736c3521d6c28019e192d74fdf96e1546a3

Citations in the corpus

• Survey Data as Coincident or Leading Indicators (2010, unknown): “…indicates that the contribution of survey data is not negligible, the more so the longer the horizon and the smaller the information set, and the impact is higher in the first month of the quarter, due to lack of hard data information and in line with the findings of Giannone et al. (2005).”
• Introducing the Euro-STING: Short Term INdicator of Euro Area Growth (2010, unknown): “For example, Giannone et al. (2006) acknowledge that they use pure real-time vintages from July 2003 to March 2005, which implies a real-time analysis of 8 quarters, and Evans (2005) conducts real-time analysis from April, 11th 1993 to June, 30th 1999, which includes 26 quarters.”
• The Role of Financial Variables in Predicting Economic Activity (2009, unknown): “For instance, Giannone et al. (2005) analyze the information content of around 200 macroeconomic releases for the US economy and find that interest rates, among a number of macroeconomic releases, improve the nowcasting of GDP.”
• Tracking the Slowdown in Long-Run GDP Growth (2017, unknown): “14 Giannone et al. (2005) conclude that that prices and monetary indicators do not contribute to the precision of GDP nowcasts.”