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Short-Term GDP Forecasting by Means of Dynamic Factor Model

Yury Ponomarev – Head of Laboratory Infrastructure and Spatial Studies, Institute for Applied Economic Studies, Russian Presidential Academy of National Economy and Public Administration; Senior Research fellow of Industrial Markets and Infrastructure Department of the Gaidar Institute, Candidate of Economic Sciences. Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Yury Pleskachev – Senior Research fellow of Industrial Markets and Infrastructure Department, Institute for Applied Economic Studies, Russian Presidential Academy of National Economy and Public Administration. E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Forecasting of the GDP real index is an important and complicated objective of the macroeconomics at its present stage. The forecasts are used as a benchmark in decision-making by central banks, tax authorities and private sector agents. The short-term forecasting of GDP and its quality has become particularly important during the 2014–2016 crisis by virtue of the need to clearly comprehend and assess the reaction of the national economy to the economic policy pursued by the government. As stated in the article, the quality of GDP forecasts can be upgraded through utilization both of the data released more frequently than that published on a quarterly basis and dynamic factor models.

Key words: GDP, GDP short-term forecasting, dynamic factor model.