Nowcasting German GDP

27 Pages Posted: 29 Jan 2020

See all articles by Paolo Andreini

Paolo Andreini

University of Rome Tor Vergata

Charlotte Charlotte Senftleben-König

Free University of Berlin (FUB)

Thomas Hasenzagl

Now-Casting Economics

Lucrezia Reichlin

London Business School; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Centre for Economic Policy Research (CEPR); European Central Bank (ECB)

Till Strohsal

Free University of Berlin (FUB) - Division of Economics

Date Written: January 2020

Abstract

This paper develops a nowcasting model for the German economy. The model outperforms a number of alternatives and produces forecasts not only for GDP but also for other key variables. We show that the inclusion of foreign variables improves the model's performance, while financial variables do not. Additionally, a comprehensive model averaging exercise reveals that factor extraction in a single model delivers slightly better results than averaging across models. Finally, we estimate a "news" index for the German economy constructed as a weighted average of the nowcast errors related to each variable included in the model.

Suggested Citation

Andreini, Paolo and Charlotte Senftleben-König, Charlotte and Hasenzagl, Thomas and Reichlin, Lucrezia and Strohsal, Till, Nowcasting German GDP (January 2020). Available at SSRN: https://ssrn.com/abstract=3526048

Paolo Andreini (Contact Author)

University of Rome Tor Vergata ( email )

Via di Tor Vergata
Rome, Lazio 00133
Italy

Charlotte Charlotte Senftleben-König

Free University of Berlin (FUB) ( email )

Van't-Hoff-Str. 8
Berlin, Berlin 14195
Germany

Thomas Hasenzagl

Now-Casting Economics ( email )

58 Marylebone High Street
London
United Kingdom

Lucrezia Reichlin

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium
+32 2 650 4221 (Phone)
+32 2 650 4475 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Till Strohsal

Free University of Berlin (FUB) - Division of Economics ( email )

Boltzmannstr. 20
Berlin 14195, 14195
Germany

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