Nowcasting using mixed frequency methods: an application to the Scottish economy

Research output: Contribution to journalArticle

Abstract

The delays in the release of key economic variables mean that policymakers do not know their current values. Quickly produced, high frequency, indicators are essential in understanding economic performance in a timely fashion. Thus, there is a need for nowcasts, which are estimates of the current values of such variables (e.g. GDP, employment, etc.). This paper nowcasts economic growth in Scotland. Nowcasting the Scottish economy is complicated because the government statistical agency treats Scotland as a region within the UK. This raises issues of data timeliness and availability. For instance, key nowcast predictors such as industrial production are unavailable at the sub-national level. Accordingly, we use data on some non-traditional variables and investigate whether UK aggregates, and indicators for neighbouring regions of the UK, can help nowcast Scottish GDP growth. Similar considerations hold for other regions in other countries. Thus, we show that these models and methods can be successfully adapted for use in a regional setting, and so produce timely macroeconomic indicators for other regional economies.

LanguageEnglish
Number of pages34
JournalSankhya B
Early online date2 Jan 2019
DOIs
Publication statusE-pub ahead of print - 2 Jan 2019

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Economics
Economic Growth
Macroeconomics
Predictors
Availability
Estimate
Nowcasting
Scotland
Model
Government
Timeliness
GDP growth
Industrial production
Macroeconomic indicators
Economic growth
Economic performance
Regional economy
Economic variables
Nontraditional
Politicians

Keywords

  • mixed frequency data
  • nowcasting
  • regional economics

Cite this

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title = "Nowcasting using mixed frequency methods: an application to the Scottish economy",
abstract = "The delays in the release of key economic variables mean that policymakers do not know their current values. Quickly produced, high frequency, indicators are essential in understanding economic performance in a timely fashion. Thus, there is a need for nowcasts, which are estimates of the current values of such variables (e.g. GDP, employment, etc.). This paper nowcasts economic growth in Scotland. Nowcasting the Scottish economy is complicated because the government statistical agency treats Scotland as a region within the UK. This raises issues of data timeliness and availability. For instance, key nowcast predictors such as industrial production are unavailable at the sub-national level. Accordingly, we use data on some non-traditional variables and investigate whether UK aggregates, and indicators for neighbouring regions of the UK, can help nowcast Scottish GDP growth. Similar considerations hold for other regions in other countries. Thus, we show that these models and methods can be successfully adapted for use in a regional setting, and so produce timely macroeconomic indicators for other regional economies.",
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