A0642
Title: Nowcasting and aggregation: Why small Euro area countries matter
Authors: Andrii Babii - UNC Chapel Hill (United States)
Luca Barbaglia - European Commission Joint Research Centre (Italy) [presenting]
Eric Ghysels - University of North Carolina Chapel Hill (United States)
Jonas Striaukas - Copenhagen Business School (Denmark)
Abstract: The purpose is to study the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro releases and daily news data. Using a panel of 19 Euro area countries, it is investigated whether directly nowcasting the Euro area aggregate is better than weighted individual country nowcasts. Results highlight the importance of the information from small- and medium-sized countries, particularly when including the COVID-19 pandemic period. The analysis is supplemented by studying the so-called Big Four (France, Germany, Italy, and Spain) and the value added of news data when official statistics are lagging.
