Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
a National Bank of Ukraine, Kyiv, Ukraine
Abstract

This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data releases on the accuracy of forecasts.

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Avaliable online 27 December 2017
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Cite as: Grui, A., Lysenko, R. (2017). Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model. Visnyk of the National Bank of Ukraine, 242, 5-13. https://doi.org/10.26531/vnbu2017.242.005
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