Nowcasting tail risk to economic activity at a weekly frequency (replication data)

DOI

This paper focuses on nowcasts of tail risk to GDP growth, with a potentially wide array of monthly and weekly information used to produce nowcasts on a weekly basis. We consider Bayesian mixed frequency regressions with stochastic volatility and Bayesian quantile regressions. Our results show that, within some limits, more information helps the accuracy of nowcasts of tail risk to GDP growth. Accuracy typically improves as time moves forward within a quarter, making additional data available, with monthly data more important to accuracy than weekly data. Accuracy also typically improves with the use of financial indicators in addition to a base set of macroeconomic indicators.

Identifier
DOI https://doi.org/10.15456/jae.2022327.072357
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775133
Provenance
Creator Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2022
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics