Page 297 - Special Topic Session (STS) - Volume 3

STS544 Paolo F. et al.
3. Data description
The target variables in our exercise are the Trend Indicator of Output (TIO)
and quarterly GDP, both measured in real-term year-on-year growth rates. The
TIO is a monthly series that describes the development of the volume of
produced output in the economy. It is constructed by using early estimates of
turnover indexes (not publicly available), which are appropriately weighted to
form the monthly aggregate index. The TIO is published monthly at t + 45,
and its value for the third month of a quarter is used to compute the flash
estimate of GDP, which is also published as an early version at t + 45, and
updated at t + 60. The t + 60 version is considered as the first official and
reliable estimate of GDP. Thus, given the information we have provided, the
TIO in fact represents a GDP nowcast in its own right. We stress the importance
of using the realistic vintages, as the data is typically "improved" by many
internal processes, and by the accumulation of new data.
The main predictors in our nowcasting application are firm-level sales
extracted from the sales inquiry, a monthly survey conducted by Statistics
Finland for the purposes of obtaining turnovers from the most important firms
in the economy. This dataset covers around 2,000 enterprises and
encompasses different industries (services, trade, construction,
manufacturing), representing ca. 70% of total turnovers. The data is available
soon after the end of the month of interest and a considerable share of the
final data is accumulated around 15 to 20 days after the end of the reference
month. Formally, Statistics Finland imposes a deadline to the firms, which are
supposed to send their data by the end of the 15th day of the month. We
compute the nowcast on the 16th day. However, this deadline is not always
met, thus our set of firms' sales does not cover the entire sample.
As alternative source of predictors, we examine traffic loop data for real-
time estimation purposes, and consider the predictive performance of traffic
3
volumes records obtained by the Finnish Transport Agency website . This
dataset contains the number of vehicles passing through a number of
measurement points, observed through an automatic traffic monitoring
system. For our nowcasting analysis, we collect data for trucks' traffic volumes,
in particular their year-on-year growth rate at the different measurement
points across the country.

4. Empirical results
The TIO is a monthly indicator of real economic activity. Our nowcasting
exercise is centered on providing fast estimates for the year-on-year growth
rate of TIO, starting from March 2012 (the first month for which we have the
vintage of the data) and ending in December 2018. We start by reporting the

3 The data is available at https://aineistot.liikennevirasto.fi/lam/reports/LAM/

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