id743230 / inflation-nowcast-model

A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.

Inflation Nowcast

A dynamic factor model that forecasts inflation, i.e. CPI, PPI, in China

This code implements the nowcasting framework described in "Macroeconomic Nowcasting and Forecasting with Big Data" by Brandyn Bok, Daniele Caratelli, Domenico Giannone, Argia M. Sbordone, and Andrea Tambalotti, Staff Reports 830, Federal Reserve Bank of New York (prepared for Volume 10 of the Annual Review of Economics).

Note: The vintage example files (Vintage_CPI.py, Vintage_PPI.py) require installation of Wind Database and Wind Python API. Users may use their own data source as well.

Download instructions

Download the code as a ZIP file by clicking the green 'Clone or download' button and selecting 'Download ZIP'.

File and folder description

• DiscreteKalmanFilter.py : Discrete Kalman Filter algorithm which is applied to estimate parameters in Dynamic Factor Model as well as dealing with unbalanced dataset
• DynamicFactorModel.py : Dynamic Factor Model module, which is the main body of nowcasting algorithm
• Functions.py : Miscellaneous functions
• Vintage_PPI.py : Vintage generator for PPI related data, Wind API required
• Nowcast_PPI.py : To nowcast PPI, Vintage_PPI.py must be run first