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• W4285668188 abstract "This paper focuses on nowcasts of tail risk to GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, classical and Bayesian quantile regressions, quantile MIDAS regressions) and also different methods for data reduction (either forecasts from models that incorporate data reduction or the combination of forecasts from smaller models). Our results show that, within some limits, more information helps the accuracy of nowcasts of tail risk to GDP growth. Accuracy typically improves as time moves forward within a quarter, making additional data available, with monthly data more important to accuracy than weekly data. Accuracy also typically improves with the use of financial indicators in addition to a base set of macroeconomic indicators. The better-performing models or methods include the Bayesian regression model with stochastic volatility, Bayesian quantile regression, some approaches to data reduction that make use of factors, and forecast averaging. In contrast, simple quantile regression and quantile MIDAS regression perform relatively poorly." @default.
• W4285668188 created "2022-07-17" @default.
• W4285668188 creator A5065544496 @default.
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• W4285668188 date "2020-06-30" @default.
• W4285668188 modified "2023-10-15" @default.
• W4285668188 title "Nowcasting Tail Risks to Economic Activity with Many Indicators" @default.
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• W4285668188 doi "https://doi.org/10.26509/frbc-wp-202013r" @default.
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