Asymmetric uncertainty : Nowcasting using skewness in real-time data

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Tác giả: Paul Labonne

Ngôn ngữ: eng

Ký hiệu phân loại: 551.63 Weather forecasting and forecasts, reporting and reports

Thông tin xuất bản: 2020

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 165741

This paper presents a new way to account for downside and upside risks when producing density nowcasts of GDP growth. The approach relies on modelling location, scale and shape common factors in real-time macroeconomic data. While movements in the location generate shifts in the central part of the predictive density, the scale controls its dispersion (akin to general uncertainty) and the shape its asymmetry, or skewness (akin to downside and upside risks). The empirical application is centred on US GDP growth and the real-time data come from Fred-MD. The results show that there is more to real-time data than their levels or means: their dispersion and asymmetry provide valuable information for nowcasting economic activity. Scale and shape common factors (i) yield more reliable measures of uncertainty and (ii) improve precision when macroeconomic uncertainty is at its peak.
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