Nowcasting and monitoring Israeli real economic activity.
We employ an extension of the collapsed dynamic factor model introduced by Brauning and Koopman (2014) for GDP nowcasting. Compared with other popular benchmarks, our model is able to improve on the timelines and accuracy of the quarterly forecasts. Our real-time experiment during the COVID-19 crisis underlines the importance of using more timely released survey-based indicators for endpoints imputation of the "hard" data. The same framework allows the construction of a monthly index of real economic activity which is consistent with the nowcast. In contrast with the currently published by the Bank of Israel Composite State of the Economy Index, it utilizes a much broader data set and thus is likely to provide a timelier and more precise picture of the course of economic activity.
תאריך עדכון אחרון : 15/05/2022