Macroeconomic Monitoring and Visualizing News
44 Pages Posted: 6 Dec 2014 Last revised: 12 Dec 2014
Date Written: December 4, 2014
This article presents the first open source IT solution for nowcasting and reading news with dynamic factor models. As illustrated in our workhorse example, the software allows us to extend the limits of currently established practices. The nowcasting model proposed for the US economy is, to the best of our knowledge, the first one that accounts for the joint behavior of quantities and prices. The model also provides a join interpretation of the forecast revisions for multiple horizons in terms of the unexpected part of both new data releases and revisions to past data, which become available in real time. For instance, a worse than expected inflation release will have an impact on the forecasting updates for GDP, but the sign of that impact will depend on the remaining news too. The reason is that we can have both positive supply and negative demand disturbances underlying the bad surprise in inflation data.
Keywords: JDEMETRA , nowcasting GDP and inflation, state-space, timeliness, data revisions
JEL Classification: C87, E31, E32, E37
Suggested Citation: Suggested Citation