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Title: Nowcasting German GDP

Author(s): Paolo Andreini, Charlotte Charlotte Senftleben-König, Thomas Hasenzagl, Lucrezia Reichlin and Till Strohsal

Publication Date: January 2020

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Programme Area(s): Monetary Economics and Fluctuations

Abstract: This paper develops a nowcasting model for the German economy. The model outperforms a number of alternatives and produces forecasts not only for GDP but also for other key variables. We show that the inclusion of foreign variables improves the model's performance, while financial variables do not. Additionally, a comprehensive model averaging exercise reveals that factor extraction in a single model delivers slightly better results than averaging across models. Finally, we estimate a "news" index for the German economy constructed as a weighted average of the nowcast errors related to each variable included in the model.

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Bibliographic Reference

Andreini, P, Charlotte Senftleben-König, C, Hasenzagl, T, Reichlin, L and Strohsal, T. 2020. 'Nowcasting German GDP'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14323