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Short-term Forecasting of the Japanese Economy Using Factor Models

Godbout, Claudia - 2012

models over different samples, including the recent financial crisis. To do so, we construct factor models to forecast …

Persistent link: https://www.econbiz.de/10013109311

Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data

Bańbura, Marta; Modugno, Michele - 2021

within our framework and we derive the relationship between the news and the resulting forecast revision. This can be used …

Persistent link: https://www.econbiz.de/10013316214

Nowcasting Euro Area GDP with News Sentiment : A Tale of Two Crises

Ashwin, Julian; Kalamara, Eleni; Saiz, Lorena - 2021

This paper shows that newspaper articles contain timely economic signals that can materially improve nowcasts of real GDP growth for the euro area. Our text data is drawn from ﬁfteen popular European newspapers, that collectively represent the four largest Euro area economies, and are machine...

Persistent link: https://www.econbiz.de/10013313002

Professional Forecasters and the Real-time Forecasting Performance of an Estimated New Keynesian Model for the Euro Area

Smets, Frank - 2013

This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets, and Wouters (2012) estimated on euro area data. It investigates to what extent forecasts of inflation, GDP growth and unemployment by professional forecasters improve the forecasting...

Persistent link: https://www.econbiz.de/10013078530

Sometimes it Helps : The Evolving Predictive Power of Spreads on GDP Dynamics

Nicoletti, Giulio - 2012

We investigate the predictive content of credit and government interest spreads with respect to the Italian GDP growth. Our analysis with Dynamic Model Averaging identifies when interest spreads were more useful predictors of economic activity: these periods are not limited to the Great...

Persistent link: https://www.econbiz.de/10013104609

Flow on Conjunctural Information and Forecast of Euro Area Economic Activity

Heinisch, Katja; Maurin, Laurent - 2021

Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising … Giannone, Reichlin and Small (2006) and Banbura and Ruenstler (2007). An out-of-sample forecast comparison exercise is also … carried out for each component and GDP directly. The forecast performance is found to vary widely across components. Two …

Persistent link: https://www.econbiz.de/10013316489

Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guérin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...

Persistent link: https://www.econbiz.de/10013120226

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

Banbura, Marta - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10013047977

Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2021

Factor based forecasting has been at the forefront of developments in the macro-econometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10013316380

Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model

Angelini, Elena; Bańbura, Marta; Rünstler, Gerhard - 2021

We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et …

Persistent link: https://www.econbiz.de/10013316468