Nowcasting global trade in goods and services

Article type: Research Article

Authors: Cantú-Bazaldúa, Fernando

Affiliations: Statistics Division, United Nations Industrial Development Organization (UNIDO), Vienna International Centre, P.O. Box 100, 1400 Vienna, Austria | Tel.: +43 1 26026 3494; E-mail: f.cantu@unido.org

Correspondence: [*] Corresponding author: Statistics Division, United Nations Industrial Development Organization (UNIDO), Vienna International Centre, P.O. Box 100, 1400 Vienna, Austria. Tel.: +43 1 26026 3494; E-mail: f.cantu@unido.org.

Abstract: World economic aggregates are compiled infrequently and released after considerable lags. There are, however, many potentially relevant series released in a timely manner and at a higher frequency that could provide significant information about the evolution of global aggregates. The challenge is then to extract the relevant information from this multitude of indicators and combine it to track the real-time evolution of the target variables. We develop a methodology based on dynamic factor models adapted for variables with heterogeneous frequencies, ragged ends and missing data. We apply this methodology to nowcast global trade in goods in goods and services. In addition to monitoring these variables in real time, this method can also be used to obtain short-term forecasts based on the most up-to-date values of the underlying indicators.

Keywords: Nowcasting, dynamic factor models, real-time monitoring, international trade

DOI: 10.3233/SJI-200716

Journal: Statistical Journal of the IAOS, vol. 37, no. 1, pp. 259-277, 2021