Nowcasting China's GDP Using a Bayesian Approach

• 来源期刊: 管理科学学报（英文版）
• 关键词: Bayesian Analysis Dynamic Factor Models Kalman Filter Nowcasting Principal Component Analysis
• 年，卷（期）: 2018,（4）
• 页码范围: 232-258
• 页数: 27页
• 语种: 中文
• DOI: 10.3724/SP.J.1383.304013

摘要

Real time nowcasting is an assessment of current-quarter GDP from timely released economic and financial series before the GDP figure is disseminated.Providing a reliable current quarter nowcast in real time based on the most recently released economic and financial monthly data is crucial for central banks to make policy decisions and longer-term forecasting exercises.In this study,we use dynamic factor models to bridge monthly information with quarterly GDP and achieve reduction in the dimensionality of the monthly data.We develop a Bayesian approach to provide a way to deal with the unbalanced features of the dataset and to estimate latent common factors.We demonstrate the validity of our approach through simulation studies,and explore the applicability of our approach through an empirical study in nowcasting the China's GDP using 117 monthly data series of several categories in the Chinese market.The simulation studies and empirical study indicate that our Bayesian approach may be a viable option for nowcasting the China's GDP.