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

30 Pages Posted: 7 Mar 2019

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: March 2019

Abstract

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 generally 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 over the period 2010–16 show that this approach provides reliable and timely nowcasts of the world GDP annual growth on a monthly basis.

Keywords: factor‐augmented MIDAS, global growth, IMF, Nowcasting

Suggested Citation

Ferrara, Laurent and Marsilli, Clément, Nowcasting Global Economic Growth: A Factor‐Augmented Mixed‐Frequency Approach (March 2019). The World Economy, Vol. 42, Issue 3, pp. 846-875, 2019, Available at SSRN: https://ssrn.com/abstract=3348006 or http://dx.doi.org/10.1111/twec.12708

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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
5
Abstract Views
237
PlumX Metrics