Real-time Forecasts of Economic Activity for Latin American Economies
IMF Working Papers, April 1, 2011
Source details
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- Real-time Forecasts of Economic Activity for Latin American Economies
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Bibliographic details
- Authors: Philip Liu, Rafael Romeu, Troy D Matheson
- Published: April 1, 2011
- Series: IMF Working Papers
Overview and Objective
- Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions.
- Assessments are made difficult by the presence of incomplete and noisy data.
- The problem is more acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag.
- This paper evaluates "nowcasts" and forecasts of real GDP growth using five alternative models for ten Latin American countries.
Methodology
- Five alternative models are evaluated for producing nowcasts and forecasts of real GDP growth.
- The flow of monthly data is incorporated into the forecasting exercise.
- The dynamic factor model is one of the model specifications assessed.
Key Findings
- The flow of monthly data helps to improve forecast accuracy.
- The dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries considered.
- The analysis covers ten Latin American countries (country list not provided on the page).
Publication and Metadata
- Authors: Philip Liu, Rafael Romeu, Troy D Matheson
- Publication date: April 1, 2011
- Series: Working Paper No. 2011/098
- Issue: 098
- Volume: 2011
- Pages: 25
- Stock No: WPIEA2011098
- ISBN: 9781455254293
- ISSN: 1018-5941
- DOI: ---
- Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
Subject Tags and Keywords
- Subject: Commodity prices, Economic and financial statistics, Factor models, GDP forecasting, Vector autoregression
- Keywords: WP
Source: IMF Working Papers — "Real-time Forecasts of Economic Activity for Latin American Economies" by Philip Liu, Rafael Romeu, and Troy D Matheson, April 1, 2011.