Now-Casting and the Real-Time Data Flow

54 Pages Posted: 28 Sep 2012

See all articles by Marta Banbura

Marta Banbura

European Central Bank

Domenico Giannone

Centre for Economic Policy Research (CEPR); Amazon.com

Michele Modugno

Board of Governors of the Federal Reserve System

Lucrezia Reichlin

London Business School; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Centre for Economic Policy Research (CEPR); European Central Bank (ECB)

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Date Written: September 2012

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.

Keywords: Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models

JEL Classification: C01, C33, C53, E32, E37

Suggested Citation

Banbura, Marta and Giannone, Domenico and Modugno, Michele and Reichlin, Lucrezia, Now-Casting and the Real-Time Data Flow (September 2012). Available at SSRN: https://ssrn.com/abstract=2153493

Marta Banbura (Contact Author)

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Domenico Giannone

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Amazon.com ( email )

Seattle, WA 98144
United States

Michele Modugno

Board of Governors of the Federal Reserve System ( email )

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Lucrezia Reichlin

London Business School ( email )

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Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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