EVALUATION OF MIXED FREQUENCY APPROACHES FOR TRACKING NEAR-TERM ECONOMIC DEVELOPMENTS IN NORTH MACEDONIA

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Gani Ramadani Magdalena Petrovska Vesna Bucevska

Abstract

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper concentrates on the empirical methods dealing with mixed-frequency data. In particular, it focuses on the MIDAS approach and its later extension, the Bayesian MFVAR. The two strategies are evaluated in terms of their accuracy to nowcast Macedonian GDP growth, using
same monthly frequency data set. The results of this study indicate that the MIDAS regressions demonstrate comparable forecasting performance to that of MF-VAR model. Moreover, it is interesting to note that the two approaches are reciprocal, since in general, their combined forecast demonstrates clear superiority in predicting business cycle turning points. Additionally, the MF-VAR model showed higher precision in times of increased uncertainty.

Article Details

How to Cite
Ramadani, G., Petrovska, M., & Bucevska, V. (2021). EVALUATION OF MIXED FREQUENCY APPROACHES FOR TRACKING NEAR-TERM ECONOMIC DEVELOPMENTS IN NORTH MACEDONIA. The South East European Journal of Economics and Business, 16(2), 43-52. Retrieved from http://journal.efsa.unsa.ba/index.php/see/article/view/1587
Section
Scientific and Professional papers: Economics and Business
Author Biographies

Gani Ramadani, National Bank of the Republic of North Macedonia

Gani Ramadani

Head of Real Sector Developments Unit

Monetary Policy and Research Department

National Bank of the Republic of North Macedonia

Blvd Kuzman Josifovski Pitu 1

1000 Skopje

Republic of North Macedonia

Tel. +389 2 3108 209

e-mail: ramadanig@nbrm.mk *

*Corresponding author

Research on topics relevant to inflation dynamics, economic growth and labour market. Involved in developments of forecasting tools and combination methods for projection of main macroeconomic variables.

Magdalena Petrovska, National Bank of the Republic of North Macedonia

Magdalena Petrovska

Senior Advisor

Monetary Policy and Research Department

National Bank of the Republic of North Macedonia

Blvd Kuzman Josifovski Pitu 1

1000 Skopje

Republic of North Macedonia

Tel. +389 2 3108 404

e-mail: petrovskam@nbrm.mk

Research on economic issues relevant to the conduct of monetary policy, including work on the monetary transmission mechanism, real natural interest rate, business cycles, economic growth and inflation dynamics. Development of macroeconomic models for the areas outlined above.

Vesna Bucevska, Faculty of Economics-Skopje, Ss. Cyril and Methodius University

Vesna Bucevska

Full professor of Econometrics and Financial Econometrics

Faculty of Economics-Skopje

Ss. Cyril and Methodius University

Blvd Goce Delcev 9V

1000 Skopje

Republic of North Macedonia

Tel. +389 2 3286 880

e-mail: vesna.bucevska@eccf.ukim.edu.mk

Research on topics relevant to macroeconomic stability, labour market, income inequality, as well as business economics. Authored six university textbooks and more than 100 articles.