Nowcasting GDP Growth for Small Open Economies with a Mixed-Frequency Structural Model

Ruey Yau, C. James Hueng

研究成果: 雜誌貢獻期刊論文同行評審

摘要

This paper proposes a mixed-frequency small open economy structural model, in which the structure comes from a New Keynesian dynamic stochastic general equilibrium (DSGE) model. An aggregation rule is proposed to link the latent aggregator to the observed quarterly output growth via aggregation. The resulting state-space model is estimated by the Kalman filter and the estimated current aggregator is used to nowcast the quarterly GDP growth. Taiwanese data from January 1998 to December 2015 are used to illustrate how to implement the technique. The DSGE-based mixed-frequency model outperforms the reduced-form mixed-frequency model and the MIDAS model on nowcasting Taiwan’s quarterly GDP growth.

原文???core.languages.en_GB???
頁(從 - 到)177-198
頁數22
期刊Computational Economics
54
發行號1
DOIs
出版狀態已出版 - 15 6月 2019

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