Nowcast of Macroeconomic Aggregates in Argentina: Comparing the predictive capacity of different models

Working papers | 2021 | N 90

Abstract

A correct and timely evaluation of current macroeconomic conditions is a fundamental input for making monetary policy decisions. Although the main source of macroeconomic data comes from the System of National Accounts - published quarterly and with a significant lag - there is a growing availability of high-frequency economic indicators. In this context, central banks have adopted the. Nowcasting as a useful tool to track current events more immediately and more precisely. In this work, the use of Nowcasting tools is extended to produce advance estimates of two components of domestic aggregate demand: consumption and investment. The exercise uses various sets of indicators, broad and restricted, to build different models of dynamic factors, as well as a combination of forecasts in the case of investment. Finally, the different models are compared in a pseudo-real time exercise and their out-of-sample performance is evaluated.

JEL classification: C22, C53, E37