Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach
18 Pages Posted: 25 Oct 2014
Date Written: October 2014
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: Suggested Citation