Nowcasting Ukraine's GDP using a factor-augmented VAR (FAVAR) model

Journal Title: Visnyk of the National Bank of Ukraine - Year 2017, Vol 0, Issue 242

Abstract

This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data releases on the accuracy of forecasts.

Authors and Affiliations

Anton Grui, Roman Lysenko

Keywords

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  • EP ID EP426662
  • DOI 10.26531/vnbu2017.242.005
  • Views 143
  • Downloads 0

How To Cite

Anton Grui, Roman Lysenko (2017). Nowcasting Ukraine's GDP using a factor-augmented VAR (FAVAR) model. Visnyk of the National Bank of Ukraine, 0(242), 5-13. https://europub.co.uk/articles/-A-426662