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Exploiting the monthly data-flow in structural forecasting

Giannone, Domenico, Monti, Francesca and Reichlin, Lucrezia (2014) Exploiting the monthly data-flow in structural forecasting. CFM discussion paper series (CFM-DP2014-16). Centre For Macroeconomics, London, UK.

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Abstract

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to a monthly specification that maintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment it with auxiliary macro indicators which, because of their timeliness, can be used to obtain a now-cast of the structural model. We show empirical results for the quarterly growth rate of GDP, the monthly unemployment rate and the welfare relevant output gap defined in Gali, Smets andWouters (2011). Results show that the augmented monthly model does best for now-casting.

Item Type: Monograph (Discussion Paper)
Official URL: http://www.centreformacroeconomics.ac.uk/Home.aspx
Additional Information: © 2014 The Authors
Divisions: Centre for Macroeconomics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C33 - Models with Panel Data
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Other Model Applications
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E30 - General
Sets: Collections > Economists Online
Research centres and groups > Centre for Macroeconomics
Date Deposited: 18 Jul 2014 09:22
Last Modified: 20 Feb 2019 03:46
URI: http://eprints.lse.ac.uk/id/eprint/57998

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