DFROG: A nowcasting model for GDP growth
Published in Working Paper, 2024
This paper presents DFROG, the “nowcasting” model employed by De Nederland- sche Bank (DNB) to generate near-term forecasts of the quarter-on-quarter growth rate of Gross Domestic Product (GDP). The core concept of DFROG is that the co-movement of a potentially large set of monthly economic indicators can be summarized into a few factors, which can then be used to forecast GDP growth. We compare the forecast accuracy of DFROG with several benchmark models and professional analysts, and conduct a thorough review of the model’s optimal specification.
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Recommended citation: Dijk, van, D.W, Rooijen, van, M. en J.M. de Winter (2024), DFROG: A nowcasting model for GDP growth, DNB Working Paper nr. 829.