NEW YORK—The Federal Reserve Bank of New York today announced the relaunch of the New York Fed Staff Nowcast through its Applied Macroeconomics and Econometrics Center (AMEC). The Staff Nowcast—which will show the evolution of the “nowcast” and the impact of new data releases—will be updated around 11:45am ET every Friday.
While current GDP estimates are only published quarterly and released with a lag, the New York Fed Staff Nowcast provides a real-time assessment of economic activity. Following suspension in September 2021 due to uncertainty around the COVID-19 pandemic, the relaunched model seeks to address some of the challenges posed by that event. The relaunched New York Fed Staff Nowcast builds flexibility into the model through two new features: time-varying parameters that allow the volatility of different components to evolve over time; and non-normal distributions that enable the detection of outliers in real time. These features help to handle greater volatility in the data, as well as reduce the model’s sensitivity to large shocks.
“The New York Fed Staff Nowcast allows us to track the evolution of economic activity in real time, while the new features significantly improve the forecasting performance of the model,” said Martín Almuzara, Research Economist in the New York Fed’s Macroeconomic and Monetary Studies Division. “While the pandemic posed challenges to the New York Fed Staff Nowcast’s estimation, the new features leverage recent developments in time-series econometrics to create a more robust and flexible model.”
The input data to the New York Fed Staff Nowcast incorporate information from several economic indicators and surveys, including data on retail sales, industrial production, the labor market, and trade.
“The New York Fed Staff Nowcast is intended to help policymakers, business leaders, consumers, analysts, and anyone trying to get a better understanding of the current state of the economy in real time,” said Argia Sbordone, Head of Macroeconomic and Monetary Studies at the New York Fed.
The New York Fed Staff Nowcast was first introduced through a Liberty Street Economics post in April 2016. In conjunction with announcing the re-publication of the Staff Nowcast, the New York Fed also issued an accompanying Liberty Street Economics post discussing the model’s new features, estimates of current-quarter GDP growth, and performance during the pandemic period.
For more information on the New York Fed Staff Nowcast and to subscribe to receive regular updates, please visit the product page.
About the Applied Macroeconomics and Econometrics Center (AMEC)
The mission of the AMEC is to develop approaches and ideas for answering the most pressing questions in the fields of macroeconomics and applied econometrics. AMEC’s goal is to build on the extensive work done by the New York Fed’s Research Group in these areas and provide intellectual leadership in the central banking community. Research initiatives focus on key topics to inform and support the monetary policy evaluation process, including inequality, financial stability, the labor and housing markets, the international economy, climate change, expectations formation, term structure models, and important gauges for monetary policy such as r*.