A0770
Title: Back to the present: Learning about the Euro Area through a now-casting model
Authors: Michele Modugno - Federal Reserve Board (United States) [presenting]
Danilo Cascaldi-Garcia - Federal Reserve Board (United States)
Thiago Ferreira - Federal Reserve Board (United States)
Abstract: A multi-country model is built for simultaneously now-casting economic conditions in the euro area and its three largest member countries, Germany, France, and Italy. The model formalizes how market participants and policymakers monitor in real-time both euro-area and country-specific market moving indicators. The out-of-sample evaluation corroborates the usefulness of a multi-country approach to monitor the euro area. Indeed, the model provides real-time accurate predictions of economic conditions both on average and in the past three recessions while finding that soft data is timely and intrinsically informative.
