On the use of web data in macroeconomic forecasting

This report explores using web based information, together with big data in macroeconomic forecasting. Exploiting rich information sets has been shown to deliver significant gains in nowcasting and forecasting contexts, whereas indicators constructed using web data can lead to better nowcasts in the face of model and data uncertainty in real time, challenges which can be particularly relevant during business cycle turning points. An example illustrates the potential of this approach: for a period cantered on the latest recession in the United States, that this approach has the potential to deliver particularly good real-time nowcasts of GDP growth.