Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach

18 Pages Posted: 25 Oct 2014

See all articles by Laurent Ferrara

Laurent Ferrara

SKEMA Business School; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA); Université Paris Ouest - Nanterre, La Défense - EconomiX

Clément Marsilli

Banque de France; University of Burgundy Franche-Comté

Multiple version iconThere are 2 versions of this paper

Date Written: October 2014

Abstract

Facing several economic and financial uncertainties, assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is often considered as the benchmark nowcast by macroeconomists. In this paper, we put forward an alternative approach to provide monthly nowcasts of the annual global growth rate. Our approach builds on a Factor-Augmented MIxed DAta Sampling (FA-MIDAS) model that enables (i) to account for a large monthly database including various countries and sectors of the global economy and (ii) to nowcast a low-frequency macroeconomic variable using higher-frequency information. Pseudo real-time results show that this approach provides reliable and timely nowcasts of the world GDP annual growth on a monthly basis.

Keywords: Global growth, Nowcasting, Factor-Augmented MIDAS

JEL Classification: C53, E37

Suggested Citation

Ferrara, Laurent and Marsilli, Clément, Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach (October 2014). Banque de France Working Paper No. 515, Available at SSRN: https://ssrn.com/abstract=2514218 or http://dx.doi.org/10.2139/ssrn.2514218

Laurent Ferrara (Contact Author)

SKEMA Business School ( email )

Paris la Défense, 92916
France

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Université Paris Ouest - Nanterre, La Défense - EconomiX ( email )

200 Avenue de la République
92000

Clément Marsilli

Banque de France ( email )

Paris
France

University of Burgundy Franche-Comté ( email )

1 rue Claude Goudimel
25030 Besancon cedex, DOUBS 25000
France

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