Composite confidence indicators are widely used to nowcast GDP. In this paper, we aim to construct a new composite confidence indicator which weighting scheme reflects the impact of consumer and business confidence on economic conditions. While GDP is quarterly measured, confidence indicators are monthly recorded. Our approach allows us to deal with data sampled at different frequencies. In particular, we propose a weighting scheme estimation based on U-MIDAS regression techniques.
Nowcasting GDP using mixed-frequency based composite confidence indicators / Carannante, Maria; Mattera, Raffaele; Misuraca, Michelangelo; Scepi, Germana; Spano, Maria. - (2020), pp. 981-987. (Intervento presentato al convegno SIS 2020).
Nowcasting GDP using mixed-frequency based composite confidence indicators
Maria Carannante;Raffaele Mattera
;Germana Scepi;Maria Spano
2020
Abstract
Composite confidence indicators are widely used to nowcast GDP. In this paper, we aim to construct a new composite confidence indicator which weighting scheme reflects the impact of consumer and business confidence on economic conditions. While GDP is quarterly measured, confidence indicators are monthly recorded. Our approach allows us to deal with data sampled at different frequencies. In particular, we propose a weighting scheme estimation based on U-MIDAS regression techniques.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
