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Title page 1

Contents 1

Abstract 2

1. Introduction 3

2. Data 5

3. Nowcasting Model 7

4. Forecasting Design 9

5. Forecast Evaluation 11

5.1. Forecast construction and loss functions 11

5.2. Balanced paired factorial contrasts 12

6. Results 13

7. Conclusion 18

Appendix 20

A. Data, model, and estimation 20

B. Additional nowcasting results 29

C. Balanced paired factorial contrasts 42

D. Moving-block bootstrap robustness 51

References 52

Tables 6

Table 1. Variables used in the nowcasting exercise 6

Figures 10

Figure 1. Model specification labels 10

Figure 2. Balanced paired factorial contrasts by loss function and period 14

Figure 3. Balanced paired factorial contrasts for quantile scores, by quantile level and period 17

Appendix Tables 42

Table C.1. Overall squared forecast error and CRPS effects 42

Table C.2. Regime-specific squared forecast error and CRPS effects 43

Table C.3. Overall quantile-score effects 45

Table C.4. Regime-specific quantile-score effects: lower tail 47

Table C.5. Regime-specific quantile-score effects: upper tail 49

Table D.1. Overall effects with a four-quarter moving-block bootstrap 51

Appendix Figures 21

Figure A.1. Each of the 25 series used in the nowcasting exercise, in the units in which it enters the model (Table 1), before standardization,... 21

Figure B.1. Real GDP growth forecasts and realizations by specification: pre-pandemic period. Specification labels: B excludes and T includes... 30

Figure B.2. Real GDP growth forecasts and realizations by specification: pandemic period. Specification labels: B excludes and T includes... 31

Figure B.3. Real GDP growth forecasts and realizations by specification: post-pandemic period. Specification labels: B excludes and T includes... 32

Figure B.4. RMSE by horizon and specification: pre-pandemic period. Cell entries are in percentage points of annualized quarter-on-quarter... 33

Figure B.5. RMSE by horizon and specification: pandemic period. Cell entries are in percentage points of annualized quarter-on-quarter... 34

Figure B.6. RMSE by horizon and specification: post-pandemic period. Cell entries are in percentage points of annualized quarter-on-quarter... 34

Figure B.7. CRPS by horizon and specification: pre-pandemic period. Cell entries are in percentage points of annualized quarter-on-quarter... 35

Figure B.8. CRPS by horizon and specification: pandemic period. Cell entries are in percentage points of annualized quarter-on-quarter... 36

Figure B.9. CRPS by horizon and specification: post-pandemic period. Cell entries are in percentage points of annualized quarter-on-quarter... 36

Figure B.10. Estimated economic activity factor and external growth benchmarks by specification. The posterior mean and 68 percent credible... 38

Figure B.11. Quarterly long-run-growth component implied by gt for T-SV-DH-O: posterior mean and 68 percent credible band from the same... 39

Figure B.12. Estimated idiosyncratic innovation standard deviation by series for T-SV-DH-O: posterior mean and 68 percent credible band... 40

Figure B.13. Change in the idiosyncratic innovation standard deviation attributable to the multiplicative outlier adjustment, by series,... 41

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