Nowcasting Japan's GDP

39 Pages Posted: 9 Jun 2020 Last revised: 19 Oct 2020

See all articles by Fumio Hayashi

Fumio Hayashi

National Graduate Institute for Policy Studies; GRIPS

Yuta Tachi

University of Texas at Austin

Date Written: May 15, 2020


This paper backtests a nowcast of Japan's real GDP growth. Its distinguishing features are use of genuine real-time data, a new revision analysis to track the nowcast's evolution, and a comparison with a market consensus forecast at 13 monthly forecasting horizons. The nowcast's forecasting accuracy is comparable to that of the consensus at most, but not all, monthly horizons. Our revision analysis finds the nowcast for 2011:Q2 over-reacting to the large temporary shock of the March 2011 earthquake. The onset of COVID-19 triggers the nowcast for 2020:Q2 growth to take a precipitous descent, in tandem with the consensus.

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: or

Fumio Hayashi (Contact Author)

National Graduate Institute for Policy Studies ( email )

Roppongi 7-22-1
Tokyo, 106-0032

HOME PAGE: http://

GRIPS ( email )

7-22-1 Roppongi, Minato-Ku
Tokyo 106-8677, Tokyo 106-8677

Yuta Tachi

University of Texas at Austin ( email )

10100 Burnet Rd
Austin, TX Texas 78758
United States

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