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A daily indicator of economic growth for the euro area

Number: 570
Year: 2016
Author(s): Valentina Aprigliano, Claudia Foroni, Massimiliano Marcellino, Gianluigi Mazzi, Fabrizio Venditti
In this paper we study alternative methods to construct a daily indicator of growth for the euro area. We aim for an indicator that (i) provides reliable predictions, (ii) can be easily updated at the daily frequency, (iii) gives interpretable signals, and (iv) it is linear. Using a large panel of daily and monthly data for the euro area we explore the performance of two classes of models: bridge and U-MIDAS models, and different forecast combination strategies. Forecasts obtained from U-MIDAS models, combined with the inverse MSE weights, best satisfy the required criteria.

Keywords: Nowcasting, mixed-frequency data
JEL codes: C51, C53, E27