Search Results - subject:"Real Time data"

Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2014

We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of Norwegian Gross Domestic Product (GDP) as the business cycle indicator. The...

Persistent link: https://www.econbiz.de/10012143840

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, … - 2014

incompleteness. Empirical results, based on US real-time data of 120 leading indicators, indicate that CDN gives more accurate …

Persistent link: https://www.econbiz.de/10012143855

The reliability of South African real-time output gap estimates

Kramer, Jessica; Farrell, Greg - Economic Research Southern Africa (ERSA) - 2014

highlighted both conceptual and practical problems in measuring the gap, including the difficulty of using real-time data that …

Persistent link: https://www.econbiz.de/10011133849

Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2014

This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our framework is general: it can be applied to...

Persistent link: https://www.econbiz.de/10011099197

Understanding house price index revisions

Elul, Ronel; Silverstein, Joseph M.; Stark, Tom - Federal Reserve Bank of Philadelphia - 2014

Residential house price indexes (HPI) are used for a large variety of macroeconomic and microeconomic research and policy purposes, as well as for automated valuation models. As is well known, these indexes are subject to substantial revisions in the months following the initial release, both...

Persistent link: https://www.econbiz.de/10011103535

Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads

Hännikäinen, Jari - Volkswirtschaftliche Fakultät, … - 2014

This paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results suggest that the predictive power of some interest rate spreads have...

Persistent link: https://www.econbiz.de/10011108827

The mortgage spread as a predictor of real-time economic activity

Hännikäinen, Jari - Volkswirtschaftliche Fakultät, … - 2014

We analyze the predictive content of the mortgage spread for U.S. economic activity. We find that the spread contains predictive power for real GDP and industrial production. Furthermore, it outperforms the term spread and Gilchrist– Zakrajsek spread in a real-time forecasting exercise....

Persistent link: https://www.econbiz.de/10011109115

Forecasting Czech GDP Using Mixed-Frequency Data Models

Franta, Michal; Havrlant, David; Rusnak, Marek - Česká Národní Banka - 2014

In this paper we use a battery of various mixed-frequency data models to forecast Czech GDP. The models employed are mixed-frequency vector autoregressions, mixed-data sampling models, and the dynamic factor model. Using a dataset of historical vintages of unrevised macroeconomic and financial...

Persistent link: https://www.econbiz.de/10011156780

Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?

Capek, Jan - In: Czech Journal of Economics and Finance (Finance a uver) 64 (2014) 6, pp. 457-475

economies in interaction with the euro area. Unlike the related literature, this paper uses separate vintages of real-time data … estimates of monetary policy reaction functions based on real-time data and those based on revised data. The parameter whose … estimate is the most affected by the usage of real-time data is preference for output growth. This result is common across the …

Persistent link: https://www.econbiz.de/10011095127

Multi-step forecasting in the presence of breaks

Hännikäinen, Jari - Volkswirtschaftliche Fakultät, … - 2014

This paper analyzes the relative performance of multi-step forecasting methods in the presence of breaks and data revisions. Our Monte Carlo simulations indicate that the type and the timing of the break affect the relative accuracy of the methods. The iterated method typically performs the best...

Persistent link: https://www.econbiz.de/10011112377