Published in:Banque de France Working Paper ; No. 515
Extent:
1 Online-Ressource (18 p)
Language:
English
DOI:
10.2139/ssrn.2514218
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2014 erstellt
Description:
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