Nowcasting German GDP
Subject
Economics
Publishing details
Social Sciences Research Network
Authors / Editors
Andreini P; Senftleben-König C; Hasenzagl T; Reichlin L; Strohsal T
Biographies
Publication Year
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.
Series
Social Sciences Research Network