This paper proposes a formal statistical framework for the real-time monitoring of current economic conditions in Japan. We identify the ‘market moving’ indicators that are monitored constantly by market participants, statistical offices, newspapers, and policy makers. This results in the selection of around 30 variables. We track the release calendar and use vintages of real-time data in order to reconstruct the exact same information set that was available at the time when the forecasts were made. These variables are used to estimate a dynamic factor model (DFM) which is updated continuously at each new data release over a historical period of 11 years. Our results show that the proposed now-casting model tracks GDP realizations well throughout the evaluation period. The forecasts produced by the sophisticated yet transparent model are comparable with both the markets and the professional forecasts.

Bragoli, D., Now-casting the Japanese Economy, <<INTERNATIONAL JOURNAL OF FORECASTING>>, 2017; 33 (2): 390-402 [http://hdl.handle.net/10807/96810]

Now-casting the Japanese Economy

Bragoli, Daniela
Primo
2017

Abstract

This paper proposes a formal statistical framework for the real-time monitoring of current economic conditions in Japan. We identify the ‘market moving’ indicators that are monitored constantly by market participants, statistical offices, newspapers, and policy makers. This results in the selection of around 30 variables. We track the release calendar and use vintages of real-time data in order to reconstruct the exact same information set that was available at the time when the forecasts were made. These variables are used to estimate a dynamic factor model (DFM) which is updated continuously at each new data release over a historical period of 11 years. Our results show that the proposed now-casting model tracks GDP realizations well throughout the evaluation period. The forecasts produced by the sophisticated yet transparent model are comparable with both the markets and the professional forecasts.
Inglese
Bragoli, D., Now-casting the Japanese Economy, <>, 2017; 33 (2): 390-402 [http://hdl.handle.net/10807/96810]
File in questo prodotto:
File Dimensione Formato  
IJF_Japan.pdf

non disponibili

Tipologia file ?: Versione Editoriale (PDF)
Licenza: Non specificato
Dimensione 880.24 kB
Formato Unknown
880.24 kB Unknown   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/96810
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 19
  • ???jsp.display-item.citation.isi??? 12
social impact