Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model

Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model

This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate t...

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Bibliographic Details
Main Authors: Anton Grui, Roman Lysenko
Format: Article
Language:English
Published: National Bank of Ukraine 2017-12-01
Series:Visnyk of the National Bank of Ukraine
Subjects:
principal components
nowcasting
factor model
Online Access:https://journal.bank.gov.ua/en/article/2017/242/01
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spelling doaj-21523a6f827b4ab3bf87163ef54301252020-11-24T21:39:50ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2017-12-0124251310.26531/vnbu2017.242.005Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) ModelAnton Grui0Roman Lysenko1National Bank of UkraineNational Bank of UkraineThis article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data releases on the accuracy of forecasts.https://journal.bank.gov.ua/en/article/2017/242/01principal componentsnowcastingfactor model
collection DOAJ
language English
format Article
sources DOAJ
author Anton Grui
Roman Lysenko
spellingShingle Anton Grui
Roman Lysenko
Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
Visnyk of the National Bank of Ukraine
principal components
nowcasting
factor model
author_facet Anton Grui
Roman Lysenko
author_sort Anton Grui
title Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
title_short Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
title_full Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
title_fullStr Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
title_full_unstemmed Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
title_sort nowcasting ukraine's gdp using a factor-augmented var (favar) model
publisher National Bank of Ukraine
series Visnyk of the National Bank of Ukraine
issn 2414-987X
publishDate 2017-12-01
description This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data releases on the accuracy of forecasts.
topic principal components
nowcasting
factor model
url https://journal.bank.gov.ua/en/article/2017/242/01
work_keys_str_mv AT antongrui nowcastingukrainesgdpusingafactoraugmentedvarfavarmodel
AT romanlysenko nowcastingukrainesgdpusingafactoraugmentedvarfavarmodel
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