A0922
Title: Does addressing uncertainty improve nowcasts of the Austrian economy?
Authors: Ines Fortin - Institute for Advanced Studies (Austria) [presenting]
Jaroslava Hlouskova - Institute for Advanced Studies (Austria)
Abstract: The purpose is to examine whether taking explicit account of business cycle regimes or financial/economic uncertainty regimes improves the nowcast performance, when nowcasting Austrian real gross domestic product (GDP), consumption and investment. Different mixed-frequency approaches are applied, such as mixed data sampling models and the mixed-frequency vector autoregressive model according to a previous study. To analyse the potential effects of regimes on nowcasting, nowcasting is performed with respect to regimes driven by a recession indicator and indicators defining high/low periods of financial or economic uncertainty. Regarding uncertainty, both local (Austrian) and global (US) financial and economic uncertainties are considered. Preliminary results suggest that taking into account different regimes may improve nowcasting. In particular, it is found that recession/expansion regimes help to nowcast GDP and consumption, while US financial uncertainty improves nowcasting investment.
