Euro area nowcasting using large Bayesian mixed frequency VAR models
Seminar by Dr. Boris Blagov, RWI – Leibniz-Institut für Wirtschaftsforschung e.V.
This talk will present the application of a Mixed Frequency VAR model (MF-VAR) for nowcasting the GDP of the largest euro area members covering the theoretical framework and the practical implementation. Using a large dataset, the nowcasting power of a plethora of monthly indicators will be assessed via an extensive out-of-sample forecasting exercise.