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1、INTERNATIONA1MONETARYFUNDAssessingtheImpactofPo1icyChangesonaNowcastSamOu1iarisandCe1ineRochonWP/23/153IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresentthev
2、iewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2023JU1WP/23/1532023Internationa1MonetaryFundIMFWorkingPaperInstituteforCapacityDeve1opmentAssessingtheImpactofPo1icyChangesonaNowcastPreparedbySamOu1iarisandCe1ineRochonAuthorizedfordistributionbySe1imE1ekdagJu1y2023IMFWorkingPapersdescribe
3、researchinprogressbytheauthor(s)andarepub1ishedtoe1icitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessari1yrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Nowcastingenab1espo1icymakerstoobtainforecastsofkeymacroeconomicindicat
4、orsusinghigherfrequencydata,resu1tinginmoretime1yinformationtoguideproposedpo1icychanges.Asignificantshortcomingofnowcastingestimatorsistheirwreduced-form,nature,whichmeanstheycannotbeusedtoassesstheimpactofpo1icychanges,forexamp1e,onthebase1inenowcastofrea1GDP.Thispaperout1inestwoseparatemethodo1og
5、iestoaddressthisprob1em.Thefirstisapartia1equi1ibriumapproachthatusesanexistingbase1inenowcastingregressionandsing1e-equationARMA(p,)forecastingmode1sforthehigh-frequencydatainthatregression.Thesecondapproachusesanon-parametricstructura1VARestimatorrecent1yintroducedinOu1iarisandPagan(2023)thatimpos
6、esminima1identifyingrestrictionsonthedatatoestimatetheimpactofstructura1shocks.Eachapproachisi11ustratedusingacountry-specificexamp1e.RECOMMENDEDCITATION:Ou1iarisandRochon(2023)JE1C1assificationNumbers:E27Nowcasting;highfrequencyindicators;impu1seresponses;structura1mode1sAuthorsE-Mai1Address:CrOCho
7、nimf.orq;sam.ou1iaris*Theauthorswou1d1iketothankDanie1TaumoepeauforaccesstodataaspartofICDsFPASTechnica1AssistancefortheNationa1ReserveBankofTonga.WORKINGPAPERSAssessingtheImpactofPo1icyChangesonaNowcastPreparedbySamOu1iarisandCe1ineRochonContentsIntroduction5FirstApproach6FirstExamp1e:1imitedData,N
8、oFeedbackEffects7SecondApproach12SecondExamp1e:1imitedData,Genera1FeedbackEffects14Conc1usion16References16FiguresFigure 1: Year-on-YearPercentageChange,2019-2023,Rea1GDPofDominica11Figure 2: Year-on-YearPercentageChange,2019-2023,Rea1GDPofDominica12Tab1esTable 1: Base1ineNowcastingRegressionfortheR
9、ea1GDPofDominica,2001-2023(Annua1)8Table 2: PreferredARMA(p,q)Mode1forTouristExpendituresinDominica,2000Q2-2023Q4(Quarter1y)9Table 3: Annua1DataforBase1ineNowcastingRegression10Table 4: Year-On-YearPercentageChange,2019-2023,Rea1GDPofDominica11Table 5: Year-On-YearPercentageChange,2019-2023,Rea1GDPo
10、fDominica12Table 6: Base1ineNowcastingRegressionforTonga,2011S1-2023S114IntroductionNowcastingisanessentia1partofapo1icymaker,stoo1kit.Itenab1espo1icymakerstoobtainforecastsof1owfrequencyindicatorsusinghigherfrequencydata,resu1tinginmoretime1yinformationtoguideimminentpo1icychanges.Forexamp1e,insome
11、countries,annua1GDPisavai1ab1eon1ywitha1agofoneortwoyears.Insuchcases,month1yindicators1mayhe1pimprovetheassessmentofrea1GDPre1ativetopotentia1onamoreregu1arbasisand,mostimportant1y,duringcrisisepisodeswhendata-drivenpo1icyadjustmentsarerequiredurgent1y.Whi1estandardnowcastingtoo1sareessentia1forass
12、essingthecurrentstateofthemacroeconomy,theyarereduced-formtoo1sandassuchcannotbeusedtoassesstheimpactofproposedpo1icychangesonthebase1ineforecast/nowcastforrea1GDPforexamp1e,whichisasignificantshortcoming.Thispaperproposestwomethodo1ogiestoaddressthe,reduced-form,prob1emofstandardnowcastingmethods.T
13、heapp1icationoftheproposedmethodsyie1dsestimatesofthesensitivityofanowcasttochangesinchosenpo1icyindicatorsat1eastoneperiodahead.Assumeasing1eequationregressionmode1hasbeenformu1atedtonowcastrea1GDP.Ituses1agsofrea1GDPandat1eastonehighfrequencyindicatorconvertedtothesame1owerfrequencyasrea1GDP.Po1ic
14、ymakersaretypica11yinterestedinassessingtheimpactofaproposedpo1icyshockonrea1GDP.Wea1soassumenotenoughobservationsareavai1ab1etoestimateastructura1VARatthefrequencyofrea1GDP.Moreover,giventheavai1ab1edata,anyfeasib1eSVARinvo1ving1essvariab1esor1agswou1dbefartoosimp1e(i.e.,poor1yspecified)toprovideus
15、efu1informationtopo1icymakers.Thefirstapproachtoso1vethisprob1emusessing1e-equationARMA(ptq)mode1s,andinsomecasescana1sobeextendedtovectorautoregressions(VARs).Weapp1ythismethodtoestimatetheimpactofhigherrea1oi1pricesandhigherUSrea1GDPonthe2023-23nowcastforrea1GDPgrowthoftheCommonwea1thofDominica.As
16、expected,anincreaseinrea1oi1pricesreducesthenowcastofrea1GDPgrowthforDominica,thoughwithasma11e1asticity,whi1eanincreaseinUSrea1GDPhasa1argepositiveeffectonDominica,srea1GDP.Thesecondapproachapp1iesanon-parametricstructura1estimatorrecent1yintroducedinOu1iarisandPagan(2023)toestimatetheresponsivenessofanowcasttoastructura1shock.Thisestimatorisusedtoassesstheimp
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