Nowcasting Finnish GDP growth using financial variables : a MIDAS approach

Show simple item record

dc.contributor Bank of Finland Laine, Olli-Matti Lindblad, Annika 2020-05-13T11:42:31Z 2020-05-13T11:42:31Z 2020
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.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 BoF Economics Review
dc.series.year 2020
dc.series.number 4/2020
dc.series.sortingnumber 0004 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

Files in this item

Total number of downloads: Loading...

Files Size Format View
BoFER_4_2020.pdf 1.132Mb PDF View/Open

This item appears in the following Collection(s)

Show simple item record