Real-Time Forecasts of Economic Activity for Latin American Economies

26 Pages Posted: 2 May 2011

See all articles by Troy Matheson

Troy Matheson

Government of New Zealand - Department of Economics

Philip Liu

International Monetary Fund (IMF)

Rafael Romeu

International Monetary Fund (IMF)

Date Written: April 2011

Abstract

Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions. These assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag. This paper evaluates "nowcasts" and forecasts of real GDP growth using five alternative models for ten Latin American countries. The results indicate that the flow of monthly data helps to improve forecast accuracy, and the dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries we consider.

Keywords: Cross country analysis, Data quality assessment framework, Economic forecasting, Economic growth, Forecasting models, Latin America

Suggested Citation

Matheson, Troy and Liu, Philip and Romeu, Rafael, Real-Time Forecasts of Economic Activity for Latin American Economies (April 2011). IMF Working Paper No. 11/98, Available at SSRN: https://ssrn.com/abstract=1826551

Troy Matheson

Government of New Zealand - Department of Economics ( email )

2 The Terrace
P.O. Box 2498
Wellington
New Zealand

Philip Liu

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Rafael Romeu

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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