Empirical Economics

, Volume 42, Issue 1, pp 95–119

Nowcasting norwegian GDP: the role of asset prices in a small open economy

Open AccessArticle

DOI: 10.1007/s00181-010-0429-9

Cite this article as:
Aastveit, K.A. & Trovik, T. Empir Econ (2012) 42: 95. doi:10.1007/s00181-010-0429-9

Abstract

This article finds that asset prices on Oslo Stock Exchange is the single most important block of data to improve estimates of current quarter GDP in Norway. We use an approximate dynamic factor model that is able to handle new information as it is released, thus the marginal impact on mean square nowcasting error can be studied for a large number of variables. We use a panel of 148 non-synchronous variables. The high informational content in asset prices is explained by reference to the small size of companies on Oslo Stock Exchange and the small and open nature of the Norwegian economy.

Keywords

Forecasting Financial markets Monetary policy Factor models Small open economy 

JEL Classification

C33 C53 E52 G14 
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Copyright information

© The Author(s) 2010

Authors and Affiliations

  1. 1.Economics DepartmentNorges BankOsloNorway
  2. 2.University of OsloOsloNorway
  3. 3.The World Bank Treasury, Quantitative StrategiesWashingtonUSA
  4. 4.Research DepartmentNorges BankOsloNorway