Similar Search Results

Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

Alessi, Lucia - 2009

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

Persistent link: https://www.econbiz.de/10013154951

Forecasting Economic Growth in the Euro Area During the Great Moderation and the Great Recession

Lombardi, Marco; Maier, Philipp - 2021

periods of low and high economic volatility (more specifically, we consider 2002-2007, which falls into the ‘Great Moderation …

Persistent link: https://www.econbiz.de/10013315981

Leading Indicators in a Globalised World

Fichtner, Ferdinand - 2009

Using OECD composite leading indicators (CLI), we assess empirically whether the ability of the country-specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information...

Persistent link: https://www.econbiz.de/10013153432

Forecasting the World Economy in the Short-Term

Jakaitiene, Audrone - 2009

Forecasting the world economy is a difficult task given the complex interrelationships within and across countries …. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims …

Persistent link: https://www.econbiz.de/10013159358

Sovereign Credit Ratings, Market Volatility, and Financial Gains

Afonso, António - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

Persistent link: https://www.econbiz.de/10013057674

Forecasting Inflation with Gradual Regime Shifts and Exogenous Information

Hubrich, Kirstin - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...

Persistent link: https://www.econbiz.de/10013122536

Survey-Based Nowcasting of US Growth : A Real-Time Forecast Comparison Over More than 40 Years

D'Agostino, Antonello - 2012

Reliable and timely information about current economic conditions is crucial for policy makers and expectations formation. This paper demonstrates the efficacy of the Survey of Professional Forecasters (SPF) and the Purchasing Manager Indices (PMI) in anticipating US real economic activity. We...

Persistent link: https://www.econbiz.de/10013103559

How Informative are the Subjective Density Forecasts of Macroeconimists?

Kenny, Geoff - 2012

improvement in the relative performance of expert densities during the recent period of macroeconomic volatility. However, our …

Persistent link: https://www.econbiz.de/10013104608

Forecasting Fiscal Time Series Using Mixed Frequency Data

Asimakopoulos, Stylianos - 2013

Given the increased importance of fiscal monitoring, this study amends the existing literature in the field of intra-annual fi scal data in two main dimensions. First, we use quarterly fi scal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis...

Persistent link: https://www.econbiz.de/10013082111

Density Characteristics and Density Forecast Performance : A Panel Analysis

Kenny, Geoff - 2014

In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...

Persistent link: https://www.econbiz.de/10013054084