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ROC and PRC Approaches to Evaluate Recession Forecasts

Lahiri, Kajal; Cheng, Yang - 2023

We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...

Persistent link: https://www.econbiz.de/10014348182

Demand or Supply? Price Adjustment During the Covid-19 Pandemic

Balleer, Almut - 2020

We study price-setting behavior in German firm-level survey data to infer the relative importance of supply and demand during the Covid-19 pandemic. Supply and demand forces coexist, but demand shortages dominate in the short run. A reported negative impact of Covid19 on current business is...

Persistent link: https://www.econbiz.de/10012829319

News Media vs. FRED-MD for Macroeconomic Forecasting

Ellingsen, Jon; Larsen, Vegard; Thorsrud, Leif Anders - 2021

Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP,...

Persistent link: https://www.econbiz.de/10013315147

Climate Risk and Commodity Currencies

Kapfhammer, Felix; Larsen, Vegard; Thorsrud, Leif Anders - 2021

The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate...

Persistent link: https://www.econbiz.de/10013314753

Switching-Track after the Great Recession

Vinci, Francesca; Licandro, Omar - 2021

We propose a theoretical framework to reconcile episodes of V-shaped and L-shaped recovery, encompassing the behaviour of the U.S. economy before and after the Great Recession. In a DSGE model with endogenous growth, negative demand shocks destroy productive capacity, moving GDP to a lower...

Persistent link: https://www.econbiz.de/10013224093

Forecasting GDP All Over the World Using Leading Indicators Based on Comprehensive Survey Data

Garnitz, Johanna - 2019

, we use a free and instantaneous available source of leading indicators, the ifo World Economic Survey (WES), to forecast …

Persistent link: https://www.econbiz.de/10012867868

A Comparison of Monthly Global Indicators for Forecasting Growth

Baumeister, Christiane; GuÃ©rin, Pierre - 2021

nowcasting and forecasting quarterly world GDP using mixed-frequency models. We find that a recently proposed indicator that … use this indicator to track the evolution of the nowcasts for the US, the OECD area, and the world economy during the … coronavirus pandemic and quantify the main factors driving the nowcasts …

Persistent link: https://www.econbiz.de/10013315045

Green Stimulus in a Post-Pandemic Recovery : The Role of Skills for a Resilient Recovery

Chen, Ziqiao - 2020

As nations struggle to restart their economy after COVID-19 lockdowns, calls to include green investments in a pandemic-related stimulus are growing. Yet little research provides evidence of the effectiveness of a green stimulus. We begin by summarizing recent research on the effectiveness of...

Persistent link: https://www.econbiz.de/10012828122

Systemic Risk and the Great Depression

Das, Sanjiv R. - 2019

We employ a unique hand-collected dataset and a novel methodology to examine systemic risk before and after the largest U.S. banking crisis of the 20th century. Our systemic risk measure captures both the credit risk of an individual bank as well as a bank’s position in the network. We...

Persistent link: https://www.econbiz.de/10012892160

Drivers of Large Recessions and Monetary Policy Responses

Melina, Giovanni; Villa, Stefania - 2023

Shocks to capital utilization are introduced in a structural macroeconomic closed-economy model with financial frictions to capture disruptions on the ability of the capital stock to provide capital services used in production. Estimates for the Euro Area and the United States show that these...

Persistent link: https://www.econbiz.de/10014345602