Nowcasting Japan's GDP

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Fumio Hayashi

National Graduate Institute for Policy Studies

Yuta Tachi

University of Texas at Austin

Date Written: May 15, 2020

Abstract

This paper backtests a nowcast of Japan's GDP growth. It follows the mainstream nowcasting literature in its use of a state-space model and a standard set of indicator variables. Its distinguishing features are use of genuine real-time data for Japan, a comparison with a market consensus forecast at 13 monthly horizons, and a new methodology for the revision analysis to account for the nowcast's response to new information. We find the nowcast to be competitive with the consensus at relatively short horizons and at several longer horizons. Our revision analysis indicates that the several-month-ahead forecast by the nowcast during disasters can be erratic due to parameter instability.

Keywords: nowcasting, real-time data, dynamic factor models, state-space models

JEL Classification: E17, E37, C53

Suggested Citation

Hayashi, Fumio and Tachi, Yuta, Nowcasting Japan's GDP (May 15, 2020). Available at SSRN: https://ssrn.com/abstract=

Fumio Hayashi (Contact Author)

National Graduate Institute for Policy Studies ( email )

Roppongi 7-22-1
Minato-ku
Tokyo, 106-0032
Japan

HOME PAGE: http://https://sites.google.com/site/fumiohayashi/home

Yuta Tachi

University of Texas at Austin ( email )

10100 Burnet Rd
Austin, TX Texas 78758
United States

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