NOWCASTING ECONOMIC TIME SERIES: REAL VERSUS FINANCIAL COMMON FACTORS
Journal Title: Journal of Applied Quantitative Methods - Year 2012, Vol 7, Issue 3
Abstract
In this paper we want to assess the impact of real and financial variables in nowcasting smoothed GDP. We implement the generalized dynamic factor model, on which Eurocoin indicator is based. We can assess that, during the structural break in 2008, the impact of real variables in estimating smoothed GDP becomes particularly relevant in relation to that concerning financial data as money supply, spreads.
Authors and Affiliations
Antonio FRENDA, Sergio SCIPPACERCOLA
Keywords
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