Assessing the Impact of Policy Changes on a Nowcast
Sam Ouliaris and Celine Rochon
WP/23/153 IMF Working Papers
This paper aims to address the limitations of nowcasting estimators in assessing the impact of policy changes on a nowcast. Nowcasting allows policymakers to obtain forecasts of key macroeconomic indicators using higher frequency data, resulting in more timely information to guide proposed policy changes. However, existing nowcasting estimators have a "reduced-form" nature, which means they cannot be used to assess the impact of policy changes on the baseline nowcast of real GDP.
To address this problem, the authors propose two separate methodologies. The first methodology is a partial equilibrium approach that uses an existing baseline nowcasting regression and single-equation forecasting models for the high-frequency data in that regression. The second approach utilizes a non-parametric approach for generating high-frequency data.
The proposed methodologies have been tested on various datasets, and the results show that they are effective in improving the accuracy and providing more reliable forecasts than existing nowcasting estimators. The authors also demonstrate that these methodologies can be used to assess the impact of policy changes on the baseline nowcast of real GDP.
In conclusion, the proposed methodologies offer a valuable tool for policymakers to obtain more accurate and timely forecasts of key macroeconomic indicators. The results of this research can be used to inform policy decisions and improve the quality of economic information.
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