Nowcasting gdp and inflation
Subtitle: the real-time informational content of macroeconomic data releases
By: Domenico Giannone, Lucrezia Reichlin, and David Small.
Series: Finance and economics discussion series ;; 2005-42; Finance and economics discussion series (Online) ;; 2005-42.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available.  The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving conditioning information set.  The marginal contribution is then split into what is due to timeliness of information and what is due to economic content.  We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables, and this effect is larger than that of the Employment Report.  When we control for timeliness of the releases, the effect of hard data becomes sizeable.  Prices and quantities affect the precision of the estimates of inflation, while GDP is affected only by real variables and interest rates"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 10/28/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.