Emilio F Blanco

Having a contemporaneus assessment of the economy cyclical conditions is crucial for monetary policy decisions. Since GDP figures are available with a significant delay, Nowcasting techniques, which allow for an immediate perception of the economic cycle, have been increasingly adopted by central banks. We develop an exercise of GDP growth Nowcast using two approaches: bridge equations and factor models. Both methods improve the predictive capacity compared to an AR(1) benchmark. Additionally, the Nowcast based on a factor model surpasses the predictive ability generated by bridge equations. Finally, using the Giacomini and White (2004) test we confirm that these differences in predictive capacity are statistically significant.

Economist usually think and work taking into account the temporal dimension of economic and financial processes. Time plays a key role in the economic decision making process and is a fundamental input for statistical models useful to analyze and predict social behavior. Thus time invades our practice. By contrast the role of territory in economic analysis is far more neglected. Territory is usually subsumed in other dimensions which are related, but are different. As a generator and promoter of public policies, the Central Bank of Argentina undergoes periodic efforts to measure, study and analyze the access and use of financial services by households and businesses in Argentina. The information gathered for this purposes, although descriptive, presents limitations on the spatial analysis that can be derived from it. Hence, we have systematized the information available to the Central Bank in the last ten years to move beyond that limitation. The result is a set of economic and financial variables and aggregate indicators of financial services market, demand and supply for 3431 Argentine localities. Furthermore, this paper, albeit being preliminary, proposes a system of geo-referenced local indicators which can be used as input for the formulation of economic and financial policies.

Monetary policy making requires a correct and timely assessment of current macroeconomic conditions. While the main source of macroeconomic data is quarterly National Accounts, often published with a significant lag, higher frequency business cycle indicators are increasingly available. Taking this into account, central banks have adopted nowcasting as a useful tool for having an immediate and more accurate perception of economic conditions. In this paper, we extend the use of nowcasting tools to produce early indicators of the evolution of two components of aggregate domestic demand: consumption and investment. The exercise uses a broad and restricted set of indicators to construct different dynamic factor models, as well as a pooling of models in the case of investment. Finally, we compare different approaches in a pseudo-real time out-of-sample exercise and evaluate their predictive performance.Facultad de Ciencias Económica

We build and estimate a small macroeconomic model of the Argentine economy, augmen-ted to depict the credit market and interest rate spreads; and monetary policy with sterilized intervention in the foreign exchange market. We estimate it using Bayesian techniques; res-ults indicate that shocks to lending rates and spread weigh on macroeconomic variables; likewise, the credit market is a¤ected by macroeconomic shocks. We also …nd that the model augmented with credit market variables improves forecast performance over a conventional small model, and a model with foreign exchange policy but no … nancial block. Resumen Construimos y estimamos un modelo macroeconómico pequeño para la Argentina, aumen-tado para describir el mercado de crédito, con tasas activas y spread de tasas de interés; y política monetaria con intervención esterilizada en el mercado cambiario. Estimando con técnicas Bayesianas, los resultados indican que shocks a las tasas de interés activas y el spread tienen efecto...

We build a small structural open economy model, augmented to depict the credit market and interest rate spreads (distinguishing by credit to …rms and families); monetary policy with sterilized intervention in the foreign exchange market; and macroprudential policy as capital requirements. We estimate the model using Bayesian techniques with quarterly data for Argentina in 2003-2011; it can be extended to other emerging economies, allowing for comparative empirical analysis. Results indicate that shocks to lending rates and spread weigh on macroeconomic variables; likewise, the credit market is a¤ected by macroeconomic shocks. Capital requirements, beyond their strictly prudential role, appear to have contributed to lower volatility of key variables such as output, prices, credit and interest rates. The interaction of monetary policy, foreign exchange intervention and prudential tools appears to be synergic: counting on a larger set of tools helps dampen volatility of both macroecono...

Having a correct assessment of current business cycle conditions is one of the mayor challenges for monetary policy conduct. Given that GDP figures are available with a significant delay, central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. Thus we develop a GDP growth nowcasting exercise using two approaches: bridge equations and a dynamic factor model. Both outperform a typical AR(1) benchmark in terms of forecasting accuracy. Moreover, the factor model outperforms the nowcast using bridge equations. Following Giacomini and White (2004) we confirm that these differences are statistically significant.

Having a correct assessment of current business cycle conditions is one of the major challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of economic conditions. We develop a GDP growth Nowcasting exercise using a broad and restricted set of indicators to construct different models including dynamic factor models as well as a FAVAR. We compare their relative forecasting ability using the Giacomini and White (2004) test and find no significant difference in predictive ability among them. Nevertheless a combination of them proves to significantly improve predictive performance.

We build a small structural open economy model, augmented to depict the credit market and interest rate spreads (distinguishing by credit to firms and families); monetary policy with sterilized intervention in the foreign exchange market; and macroprudential policy as capital requirements. We estimate the model using Bayesian techniques with quarterly data for Argentina in 2003-2011; it can be extended to other emerging economies, allowing for comparative empirical analysis. Results indicate that shocks to lending rates and spread weigh on macroeconomic variables; likewise, the credit market is affected by macroeconomic shocks. Capital requirements, beyond their strictly prudential role, appear to have contributed to lower volatility of key variables such as output, prices, credit and interest rates. The interaction of monetary policy, foreign exchange intervention and prudential tools appears to be synergic: counting on a larger set of tools helps dampen volatility of both macroeco...

We build and estimate a small macroeconomic model of the Argentine economy, augmented to depict the credit market and interest rate spreads; monetary policy with sterilized intervention in the foreign exchange market; and macroprudential policy as capital requirements. We estimate it using Bayesian techniques with quarterly data for 2003-2011; results indicate that shocks to lending rates and spread weigh on macroeconomic variables; like�

We build a small structural open economy model, augmented to depict the credit market and interest rate spreads (distinguishing by credit to Orms and families); monetary policy with sterilized intervention in the foreign exchange market; and macroprudential policy as capital requirements. We estimate the model using Bayesian techniques with quarterly data for Argentina in 2003-2011; it can be extended to other emerging economies, allowing for comparative empirical analysis. Results indicate that shocks to lending rates and spread weigh on macroeconomic variables; likewise, the credit market is a§ected by macroeconomic shocks. Capital requirements, beyond their strictly prudential role, appear to have contributed to lower volatility of key variables such as output, prices, credit and interest rates. The interaction of monetary policy, foreign exchange intervention and prudential tools appears to be synergic: counting on a larger set of tools helps dampen volatility of both macroecono...

We exploit the richness of a large data set of daily and monthly business cycle indicators by pooling them to produce Nowcast of contemporaneous real GDP growth. We conduct predictions based on a pooling of bivariate forecasts which uses these indicators as predictors of GDP (Nowcast with pooling). We also conduct a Nowcast exercise with factors for a restricted subset of business cycle indicators. When comparing the predictive accuracy of Nowcast with pooling and with factors with that of an AR(1) model, only the Nowcast with pooling outperforms the AR(1), indicating that the use of information released within the quarter helps to improve GDP growth prediction. The methodology then offers an encouraging and valuable approach to provide timely information for policy decision making.

We build and estimate a small macroeconomic model of the Argentine economy, augmented to depict the credit market, interest rate spreads and capital requirements; together with monetary policy with sterilized intervention in the foreign exchange market. We estimate it using Bayesian techniques with quarterly data for 2003-2011; results indicate that shocks to lending rates and spread weigh on macroeconomic variables; likewise, the credit market is a¤ected by macroeconomic shocks. We also …nd that the model augmented with credit market variables improves forecast performance over a conventional small model, and a model with foreign exchange policy but no “…nancial block”. Finally, capital adequacy ratios are assessed under alternative de…nitions: they appear to have contributed to lower volatility of key variables such as output, prices, credit and interest rates. JEL classi…cation codes: E17, E51, E52, E58 Paper prepared for the plenary meeting of the BIS Consultative Council of the...

In order to comply with their main objective of price stability, monetary authorities rely on analytic tools to properly assess tendencies and inflationary pressures in the economy. Therefore Central Banks are interested in analyzing and monitoring changes in cyclical fluctuations of economic variables that may potentially result in an acceleration of inflation. Indeed, they use different methodologies such as estimations of non-inflationary potential output and the output gap in order to understand prices and wages dynamics. An alternative to such variables is the consideration of different indicators that anticipate inflationary pressures. The relevant information available increases with the number of variables included in the analysis, making it more difficult in practice. The Principal Components methodology partially resolves this problem, since it simplifies and consolidates relevant information extracted from a significant number of series. This methodology resumes informati...

Resumen La principal fuente de información macroeconómica son series mensuales (o trimestrales) pub-licadas con un rezago importante. En años recientes han surgido múltiples técnicas que permiten hacer uso de la creciente disponibilidad de datos de alta frecuencia provenientes de fuentes no tradicionales. En este sentido, exploro Google trends como una herramienta que podría comple-mentar otros indicadores comúnmente usados para una inmediata evaluación de las condiciones económicas. Siguiendo la literatura reciente, propongo dos ejercicios: (i) pronóstico de ventas de au-tomóviles utilizando búsquedas individuales de palabras clave y (ii) construir un indicador mensual de consumo anticipado utilizando las categorías preestablecidas de Google.
Abstract The main source of macroeconomic data are monthly (or quarterly) series, often published with a signi…cant lag. In recent years, many techniques have been developed to bene…t from very high frequency data and nontraditional sources. In this sense, I explore Google trends as a tool that could complement other indicators commonly used for immediate economic conditions assessment. Following the recent literature, two exercises are proposed: (i) automobile sales forecast using keywords search and (ii) a monthly anticipated private consuptions indicator using Google's preestablished categories. * Las opiniones expresadas en este trabajo son exclusiva responsabilidad del autor y no representan necesariamente