Citation

Discussion Paper Details

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Title: Now-casting and the real-time data flow

Author(s): Marta Banbura, Domenico Giannone, Michele Modugno and Lucrezia Reichlin

Publication Date: September 2012

Keyword(s): Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data and State-Space Models

Programme Area(s): International Macroeconomics

Abstract: The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market participants and policy makers read macroeconomic data releases in real time, which involves: monitoring many data, forming expectations about them and revising the assessment on the state of the economy whenever realizations diverge sizeably from those expectations.

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Bibliographic Reference

Banbura, M, Giannone, D, Modugno, M and Reichlin, L. 2012. 'Now-casting and the real-time data flow'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9112