Abstrakt
In this paper, we employ a Dynamic Factor Model (DFM) to nowcast Czech GDP. Using multiple vintages of historical data and taking into account the publication lags of various monthly indicators, we evaluate the real-time performance of the DFM over the 2005-2012 period.
The main result of this paper is that the accuracy of model-based nowcasts is comparable to that of the nowcasts of the Czech National Bank (CNB). Moreover, combining the DFM and the CNB nowcasts results in more accurate performance than in the case of the individual nowcasts alone.
Our results also suggest that foreign variables are crucial for the accuracy of the model, while omitting financial and confidence indicators does not worsen the nowcasting performance. (C) 2015 Elsevier B.V.