Nowcasting Finnish GDP growth using financial variables : a MIDAS approach

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dc.contributor Bank of Finland
dc.contributor.author Laine, Olli-Matti
dc.contributor.author Lindblad, Annika
dc.date.accessioned 2020-05-13T11:42:31Z
dc.date.available 2020-05-13T11:42:31Z
dc.date.issued 2020
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/17047
dc.description.abstract We analyse the performance of financial market variables in nowcasting Finnish quarterly GDP growth. Especially, we assess if prediction accuracy is affected by the sampling frequency of the financial variables. Therefore, we apply MIDAS models that allow us to forecast quarterly GDP growth using monthly or daily data without temporal aggregation in a parsimonious way. Our results show that financial market data nowcasts Finnish GDP growth relatively well. When it comes to individual variables, ratios like average price-to-earnings, average price-to-book or average dividend yield track GDP growth well. Our results suggest that the sampling frequency of financial market variables is not crucial: the forecasting accuracy of daily, monthly and quarterly data is similar.
dc.format.extent 26
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Suomi
dc.subject mallit
dc.subject.other MIDAS
dc.subject.other nowcasting
dc.subject.other financial markets
dc.subject.other GDP
dc.title Nowcasting Finnish GDP growth using financial variables : a MIDAS approach
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-202005132138
dc.subject.jel E44
dc.subject.jel G00
dc.subject.jel E37
dc.series.name BoF Economics Review
dc.series.year 2020
dc.series.number 4/2020
dc.series.sortingnumber 0004
dc.date.publication 13.5.2020
dc.subject.yso taloudelliset ennusteet
dc.subject.yso ennusteet
dc.subject.yso bruttokansantuote
dc.subject.yso rahoitusmarkkinat
dc.subject.yso tarkkuus
dc.subject.yso data
bof-internal.includedInCRIS 1
dc.type.okm D4

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