DOI: https://doi.org/10.52903/wp2022317
THE D-MODEL FOR GDP NOWCASTING
Stavros Degiannakis
Bank of Greece
Abstract
The paper provides a disaggregated mixed frequency framework for the estimation of GDP. The GDP is disaggregated into components that can be forecasted based on information available at higher sampling frequency; i.e. monthly, weekly or daily. The model framework is applied for Greek GDP nowcasting. The results provide evidence that the more accurate nowcasting estimations require i) the disaggregation of GDP, ii) the use of a multilayer mixed frequency framework, iii) the inclusion of financial information on a daily frequency. The simulation study provides evidence in favor of the disaggregation into components despite the inclusion of multiple sources of forecast errors.
Keywords: Nowcasting, forecasting, GDP, disaggregation, factors, multilayer, mixed frequency.
JEL-Classifications: E27, C53
Acknowledgements: I would like to thank Eleftheria Kafousaki, Thanos Petralias, Stelios Panagiotou, Dimitris Malliaropoulos and Zacharias Bragoudakis for their useful comments. The views expressed in this paper are those of the author and not necessarily those of either the Bank of Greece or the Eurosystem.
Correspondence:
Stavros Degiannakis
Bank of Greece,
21 E. Venizelos Avenue, 10250,
Athens, Greece
e-mail: sdegiannakis@bankofgreece.gr