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Nowcasting BRIC+M in Real Time
Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha 2015-11-05
Abstract
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies. This paper uses state-of-theart dynamic factor models (DFMs) to nowcast real GDP growth in five major emerging markets—Brazil, Russia, India, China and Mexico (“BRIC+M”). The DFM framework allows us to efficiently handle data series characterized by different publication lags, frequencies and sample lengths. This framework is particularly suitable for emerging markets for which many indicators are subject to significant publication lags and/or have been compiled only recently. The methodology also allows us to extract model-based “news” from a data release and assess the impact of this news on nowcast revisions. Results show that the DFMs generally outperform simple univariate benchmark models for the BRIC+M. Overall, our results suggest that the DFM framework provides reliable nowcasts for GDP growth for the emerging markets under consideration.
이전글 | 중국의 곡물산업 동향과 한ㆍ중 식량안보 협력방안 | 2015-11-05 |
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다음글 | 中国経済展望2015年11月号: 景気は一段と減速 | 2015-11-05 |