DP9112 Now-casting and the real-time data flow
|Author(s):||Marta Banbura, Domenico Giannone, Michele Modugno, Lucrezia Reichlin|
|Publication Date:||September 2012|
|Keyword(s):||Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models|
|JEL(s):||C01, C33, C53, E32, E37|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=9112|
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.