Premio Anual de Investigación Económica “Dr. Raúl Prebisch”

Short-Run Forecasting of Argentine Gross Domestic Product Growth

Marcos Dal Bianco

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2016-06-23 - We propose a small-scale dynamic factor model for monitoring Argentine GDP in real time using economic data at mixed frequencies (monthly and quarterly) which are published with different time lags. Our model not only produces a coincident index of the Argentine business cycle in striking accordance with professional consensus and the history of the Argentine business cycle, but also generates accurate short-run forecasts of the highly volatile Argentine GDP growth. By using a simulated real-time empirical evaluation, we show that our model produces reliable backcasts, nowcasts and forecasts well before the official data is released.