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1. 1. Nowcasting Private Consumption in Switzerland using a Mixed-Frequency Dynamic Factor Model with High-Frequency Data

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Marius Koechlin; [2021]
   Keywords : Nowcasting; Private consumption; Dynamic factor mode; Mixed-frequency data; Kalman filter;

   Abstract : Various empirical papers have provided evidence that dynamic factor models and the use of high- and mixed-frequency data yield good estimates for nowcasts. This thesis uses the dynamic factor model framework of Giannone et al. (2008) with daily, weekly, and monthly data to nowcast private consumption in Switzerland. READ MORE