Nowcasting Norway

Luciani, Matteo; Ricci, Lorenzo

doi:10.2139/ssrn.2211647

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Nowcasting Norway

26 Pages Posted: 5 Feb 2013 Last revised: 1 Aug 2022

See all articles by Matteo Luciani

Matteo Luciani

Board of Governors of the Federal Reserve System

Lorenzo Ricci

European Stability Mechanism

Date Written: October 28, 2013

Abstract

We produce predictions of Norwegian GDP. To this end, we estimate a Bayesian Dynamic Factor model on a panel of 14 variables (all followed closely by market operators) ranging from 1990 to 2011. By means of a pseudo real-time exercise we show that the Bayesian Dynamic Factor Model performs well both in terms of point forecast, and in terms of density forecasts. Results indicate that our model outperforms standard univariate benchmark models, that it performs as well as the Bloomberg Survey, and that it outperforms the predictions published by the Norges Bank in its monetary policy report.

Keywords: Real-Time Forecasting, Bayesian Factor model, Nowcasting

JEL Classification: C32, C53, E37

Suggested Citation: Suggested Citation

Luciani, Matteo and Ricci, Lorenzo, Nowcasting Norway (October 28, 2013). Available at SSRN: https://ssrn.com/abstract=2211647 or http://dx.doi.org/10.2139/ssrn.2211647