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We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...
Persistent link: https://www.econbiz.de/10011604797
Forecasts from dynamic factor models potentially benefit from refining the data set by eliminating uninformative series. The paper proposes to use prediction weights as provided by the factor model itself for this purpose. Monte Carlo simulations and an empirical application to short-term...
Persistent link: https://www.econbiz.de/10011605938
The COVID-19 crisis has affected economic sectors very heterogeneously, with possible risks for permanent losses in some sectors. This paper presents a sectoral-level, bottom- up method to estimate euro area potential outputin order to assess the impact of the crisis on it. The estimates are...
Persistent link: https://www.econbiz.de/10014278379
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012422115
inflation. Moreover, the results suggest that the importance of global inflation in forecasting domestic inflation has its roots …
Persistent link: https://www.econbiz.de/10011605993
performs favourably compared to the Eurosystem/ECB staff macroeconomic projections, (iv) forecasting performance deteriorates …
Persistent link: https://www.econbiz.de/10014374691
’s forecasting performance relative to a number of benchmarks, including a Bayesian VAR. We finally consider several applications to … illustrate the potential contributions the NAWM can make to forecasting and policy analysis. …
Persistent link: https://www.econbiz.de/10011604990
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10011605128
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …
Persistent link: https://www.econbiz.de/10011605231
short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United …
Persistent link: https://www.econbiz.de/10011605301