Search Results - subject:"Real Time data"

Real-Time Inflation Forecasting in a Changing World

Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - Norges Bank - 2009

This paper revisits ination forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using activity and expectations variables. We propose a Phillips curve-type model that results from averaging across different regression specifications selected from a set of potential...

Persistent link: https://www.econbiz.de/10008515839

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...

Persistent link: https://www.econbiz.de/10011605156

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - European Central Bank - 2009

Persistent link: https://www.econbiz.de/10008458417

Does the ECB rely on a Taylor rule? : comparing ex-post with real time data

Belke, Ansgar; Klose, Jens - 2009

. First, the differences resulting from the use of ex-post and real time data per se and, second, the differences emerging … from the use of non-modified real time data instead of real-time data based forecasted values and vice versa. Since both … estimated inflation coefficients while the opposite is true for the output gap coefficients. If real time data forecasts for the …

Persistent link: https://www.econbiz.de/10010207062

A Statistical Analysis of Revisions of Swedish National Accounts Data

Flodberg, Caroline; Österholm, Pär - Konjunkturinstitutet, Government of Sweden - 2015

In this paper, we study revisions of Swedish national accounts data. Three aspects of the revisions are considered: volatility, unbiasedness and forecast efficiency. Our results indicate that the properties of the revisions are more problematic for the production side than for the expenditure...

Persistent link: https://www.econbiz.de/10011157179

Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions

Rossi, Barbara; Sekhposyan, Tatevik - Barcelona Graduate School of Economics (Barcelona GSE) - 2015

We propose new indices to measure macroeconomic uncertainty. The indices measure how unexpected a realization of a representative macroeconomic variable is relative to the unconditional forecast error distribution. We use forecast error distributions based on the nowcasts and forecasts of the...

Persistent link: https://www.econbiz.de/10011269054

What does financial volatility tell us about macroeconomic fluctuations?

Chauvet, Marcelle; Senyuz, Zeynep; Yoldas, Emre - In: Journal of Economic Dynamics and Control 52 (2015) C, pp. 340-360

We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract the common long-run component of volatility that is...

Persistent link: https://www.econbiz.de/10011209218

Does the Greenspan era provide evidence on leadership in the FOMC?

El-Shagi, Makram; Jung, Alexander - In: Journal of Macroeconomics 43 (2015) C, pp. 173-190

preferences voiced during the second round of the internal FOMC discussions and real-time data. They show that the Federal Reserve …

Persistent link: https://www.econbiz.de/10011194157

Short-term forecasting with mixed-frequency data: A MIDASSO approach

Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2015

In this paper we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et...

Persistent link: https://www.econbiz.de/10011196718

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2015

Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting...

Persistent link: https://www.econbiz.de/10011145393