• Focus Area -
  • Type External journal article
  • Date 14 April 2016


We employ principal components and dynamic factor models for nowcasting GDP growth in selected Central, Eastern and Southeastern European (CESEE) economies. Our estimation sample extends from the first quarter of 2000 to the second quarter of 2008, our evaluation period from the third quarter of 2008 to the third quarter of 2014. For this period, we produce quasi out-of-sample forecasts of past-, current- and next-quarter GDP growth for seven CESEE economies. The models differ with respect to the estimation method, model specification, and the number of short-term indicators used. We find, first of all, a clear gain in predictive accuracy from using a nowcasting model with monthly indicators compared to the naïve benchmark. Furthermore, for our sample of small, open economies, we find that models using a smaller set of carefully selected indicators yield lower prediction errors on average than models based on larger information sets. Finally, we identify a clear gain in forecast performance from including foreign or euro area indicators.

Authors: Havrlant, D., Tóth, P., Wörz, J.


Austrian Central Bank Working Paper Series, issue 4, pages 54-72.


David Havrlant

David Havrlant

David was a research fellow who contributed a better understanding of the current and future economic environment of a changing… David was a research fellow who contributed a better understanding of the current and future economic environment of a changing region. He was mainly interested in the development of models for policy analysis and forecasting. At the same time, he was involved in projects related to the Vision 2030 program, focusing on the economic transformation and diversification of the Saudi economy. Prior to joining KAPSARC, David worked at the European Commission, European Central Bank, Moody's Analytics and the Czech National Bank. In these institutions, he participated in economic policy analysis, forecasting and research. He also served as a consultant to central banks in the CEE region, managing a variety of economic modeling projects. David led courses in econometrics and operations research during his Ph.D. studies.

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