Nowcasting norwegian GDP: The role of asset prices in a small open economy

Empirical Economics

Volumn 42, Issue 1, 2012, Pages 95-119

  Aastveit, Knut Are ^a,b   Trovik, Tørres ^c,d  

^a NORGES BANK   (Norway)

^b UNIVERSITY OF OSLO   (Norway)

^c WORLD BANK   (United States)

^d STATISTICS NORWAY   (Norway)

Author keywords

Factor models; Financial markets; Forecasting; Monetary policy; Small open economy

Indexed keywords

ERROR ANALYSIS; FINANCIAL MARKET; GROSS DOMESTIC PRODUCT; MONETARY POLICY; NOWCASTING; PRICE DYNAMICS; STOCK MARKET;

NORWAY;

EID: 84855592548     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-010-0429-9     Document Type: Article

References (32)

1. Aastveit KA, Trovik TG (2008) Estimating the output gap in real time: a factor model approach. Working Paper 2008/23, Norges Bank.
2. Angelini E, Banbura M, Rünstler G (2008a) Estimating and forecasting the euro area monthly national accounts from a dynamic factor model. Working Paper Series 953, European Central Bank.
3. Angelini E, Camba-Mendez G, Giannone D, Reichlin L, Rünstler G (2008b) Short-term forecasts of euro area gdp growth. CEPR Discussion Papers 6746.
4. Beaudry P, Portier F (2006) Stock prices, news, and economic fluctuations. Am Econ Rev 96(4): 1293-1307.
5. Boivin J, Ng S (2005) Understanding and comparing factor-based forecasts. Int J Central Bank 1(3): 117-151.
6. Boivin J, Ng S (2006) Are more data always better for factor analysis?. J Econom 132(1): 169-194.
7. Chamberlain G, Rothschild M (1983) Arbitrage, factor structure, and mean-variance analysis on large asset markets. Econometrica 51(5): 1281-1304.
8. Doz C, Giannone D, Reichlin L (2007) A two-step estimator for large approximate dynamic factor models based on kalman filtering. CEPR Discussion Papers 6043.
9. Evans MD (2005) Where are we now? real-time estimates of the macro economy. Int J Central Bank 1(2): 127-175.
10. Fama EF, French KR (1992) The cross-section of expected stock returns. J Financ 47(2): 427-465.
11. Fama EF, French KR (1993) Common risk factors in the returns on stocks and bonds. J Financ Econ 33(1): 3-56.
12. Forni M, Hallin M, Lippi M, Reichlin L (2000) The generalized dynamic-factor model: identification and estimation. Rev Econ Stat 82(4): 540-554.
13. Forni M, Hallin M, Lippi M, Reichlin L (2003) Do financial variables help forecasting inflation and real activity in the euro area. J Monet Econ 50(6): 1243-1255.
14. Forni M, Hallin M, Lippi M, Reichlin L (2005) The generalized dynamic factor model: one-sided estimation and forecasting. J Am Stat Assoc 100: 830-840.
15. Forni M, Giannone D, Lippi M, Reichlin L (2009) Opening the black box: structural factor models with large cross-sections. Econom Theory 25(5): 1319-1347.
16. Giannone D, Reichlin L, Sala L (2005) Monetary policy in real time. In: Gertler M, Rogoff K (eds) NBER macroeconomics annual 2004. MIT Press, Cambridge, pp 161-224.
17. Giannone D, Reichlin L, Small D (2008) Nowcasting: the real-time informational content of macroeconomic data. J Monet Econ 55(4): 665-676.
18. Jaimovich N, Rebelo S (2008) News and business cycles in open economies. J Money Credit Bank 40(8): 1699-1711.
19. Jaimovich N, Rebelo S (2009) Can news about the future drive the business cycle?. Am Econ Rev 99(4): 1097-1118.
20. Koop G, Potter S (2004) Forecasting in dynamic factor models using bayesian model averageing. Econom J 7(2): 550-565.
21. Lettau M, Ludvigson S (2001) Consumption, aggregate wealth, and expected stock returns. J Financ 56(3): 815-849.
22. Liew J, Vassalou M (2000) Can book-to-market, size and momentum be risk factors that predict economic growth. J Financ Econ 57(2): 221-245.
23. Mariano RS, Murasawa Y (2003) A new coincident index of business cycles based on monthly and quarterly series. J Appl Econom 18(4): 427-443.
24. Merton RC (1973) An intertemporal capital asset pricing model. Econometrica 41(5): 867-887.
25. Næs R, Skjeltorp JA, Ødegaard BA (2010) Stock market liquidity and the business cycle. J Financ (Forthcoming).
26. Panopoulou E (2007) Predictive financial models of the euro area: a new evaluation test. Int J Forecast 23(4): 695-705.
27. Petkova R (2006) Do the fama-french factors proxy for innovations in predictive variables?. J Financ 61(2): 581-612.
28. Schumacher C, Breitung J (2008) Real-time forecasting of german gdp based on a large factor model with monthly and quarterly data. Int J Forecast 24(3): 386-398.
29. Stock JH, Watson MW (2002) Forecasting using principal components from a large number of predictors. J Am Stat Assoc 97: 1167-1179.
30. Stock JH, Watson MW (2002) Macroeconomic forecasting using diffusion indexes. J Bus Econ Stat 20(2): 147-162.
31. Stock JH, Watson MW (2003) Forecasting output and inflation: the role of asset prices. J Econ Lit 41(3): 788-829.
32. Vassalou M (2003) News related to future gdp growth as a risk factor in equity returns. J Financ Econ 68(1): 47-73.