Detail publikace

Assessing the external demand of the Czech economy: nowcasting foreign GDP using bridge equations

Autor: PhDr. Tomáš Adam , Novotný, Filip
Typ: Ostatní
Rok: 2018
Číslo: 18
ISSN / ISBN:
Publikováno v: CNB WP 18/2018
Místo vydání:
Klíčová slova: Bayesian model averaging, bridge equations, nowcasting, short-term forecasting
JEL kódy:
Citace:
Abstrakt: We propose an approach to nowcasting foreign GDP growth rates for the Czech economy. For presentational purposes, we focus on three major trading partners: Germany, Slovakia and France. We opt for a simple method which is very general and which has proved successful in the literature: the method based on bridge equation models. A battery of models is evaluated based on a pseudo-real-time forecasting exercise. The results for Germany and France suggest that the models are more successful at backcasting, nowcasting and forecasting than the naive random walk benchmark model. At the same time, the various models considered are more or less successful depending on the forecast horizon. On the other hand, the results for Slovakia are less convincing, possibly due to the stability of the GDP growth rate over the evaluation period and the weak relationship between GDP growth rates and monthly indicators in the training sample

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