Nowcasting global economic growth: A factor-augmented mixed-frequency approach - Archive ouverte HAL
Article Dans Une Revue The World Economy Année : 2019

Nowcasting global economic growth: A factor-augmented mixed-frequency approach

Laurent Ferrara
Clément Marsilli
  • Fonction : Auteur

Résumé

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.

Dates et versions

hal-01636761 , version 1 (16-11-2017)

Identifiants

Citer

Laurent Ferrara, Clément Marsilli. Nowcasting global economic growth: A factor-augmented mixed-frequency approach. The World Economy, 2019, 42 (3), pp.846-875. ⟨10.1111/twec.12708⟩. ⟨hal-01636761⟩
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