Identifying Useful Indicators for Nowcasting GDP in Sweden

• This paper focuses on identifying useful indicators for nowcasting GDP in Sweden. We analyze 35 monthly indicators spanning the period from 1993 to 2023. Additionally, we evaluate the group-wise performance of these indicators. The analysis is conducted using mixed-data sampling (MIDAS) and mixed-frequency VAR models in both individual and pooled setups forn owcasting. While the primary focus is on nowcasting, we also assess the performance of the indicators for backcasting and forecasting. For nowcasting, we identify 16 indicators in the individual setup and 23 indicators in the pooled setup that outperform the benchmark. Group-wise, indicators belonging to the survey, interest & exchange rates, and public finance groups exhibit strong performance in the individual setup. Notably, in the pooled setup, the output, survey, price, interest & exchange rates, and public finance groups demonstrate strong performance.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematical sciences -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Nowcasting

Swedish GDP

MIDAS

Mixed-frequency VAR

Statistik

Statistics

Publikations- och innehållstyp

vet (ämneskategori)

rap (ämneskategori)