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1、JournalofPolicyModeling27(2005)327344Ontheuseofhigh-frequencyeconomicinformationtoanticipatethecurrentquarterGDP:AstudycaseforMexicoAlfredoCoutino∗CenterforEconomicForecastingofMexico(CKF),P.O.Box38521,Philadelphia,PA19104,USAReceived1July2004;accepted1November2004Availableonlin
2、e17January2005AbstractAmethodforanticipatingquarterlyestimatesofGDPanditsmaincomponentsinadvanceoftheofficialpublicationispresentedinthisstudy.Usinghigh-frequencyinformation,timeseriesequationsandregressionanalysis,themodelpredictsthequarterlyGDPbasedonthreedifferentapproaches:pr
3、oductionside,expenditureside,andprincipalcomponentsextractedfromasetofstrategicindicators.Thismodel,consideredapurelyeconometricsystemwithnopersonaldataadjustment,allowsustoforecastthecurrentquarterGDPanditspricedeflatorusingmonthlyinformationoneconomicactivity,financialmarkets,fu
4、turespricesandforwards,andexpectations.©2005PublishedbyElsevierInc.onbehalfofSocietyforPolicyModeling.Keywords:GDP;Econometricsystem;Mexico;Forecastingmodel1.IntroductionThehigh-frequencyforecastingmethodologyisbasedonthetechniqueoftheCurrentQuarterModelfortheU.S.economydevelope
5、dattheUniversityofPennsylvania.Inap-plyingthismethodologytothecaseofMexico,wehaveincludedmarketexpectations∗Tel.:+12152196214;fax:+13027773403.E-mailaddress:acoutino@ckf-forecasting.com.0161-8938/$seefrontmatter©2005PublishedbyElsevierInc.onbehalfofSocietyforPolicyModeling.doi:1
6、0.1016/j.jpolmod.2004.11.004328A.Couti˜no/JournalofPolicyModeling27(2005)327–344andfuturespricestoincorporatetheeffectsofnewsandrecentdevelopmentsonthefu-tureperformanceoftheeconomy.Inaddition,wecanalsousemarketexpectationsastheinstrumentalvariablestoperformsimulationsofpolicy-i
7、nducedchanges.Theavailabilityofhigh-periodicityinformationoneconomicactivityandfinancialmar-kets,onadaily,weeklyormonthlybasis,permitsonetomonitortheeconomymorefre-quently,andinever-increasingdetail.Theuseofhigh-frequencyeconomicinformationisessentialnotonlyforveryshort-termforec
8、astingpurposesbutalsoforimprovingthegeneralpred
