Showing 1 - 10 of 21,856
We sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, we focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent recession, we find...
Persistent link: https://www.econbiz.de/10014199200
We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...
Persistent link: https://www.econbiz.de/10014214485
We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a...
Persistent link: https://www.econbiz.de/10014224022
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
Economists typically use seasonally adjusted data in which the assumption is imposed that seasonality is uncorrelated with trend and cycle. The importance of this assumption has been highlighted by the Great Recession. The paper examines an unobserved components model that permits non-zero...
Persistent link: https://www.econbiz.de/10012948265
The authors sketch a framework for monitoring macroeconomic activity in real-time and push it in new directions. In particular, they focus not only on real activity, which has received most attention to date, but also on inflation and its interaction with real activity. As for the recent...
Persistent link: https://www.econbiz.de/10012906127
Despite closing output gaps and tightening labor markets, inflation has remained low inthe euro area. Based on an augmented Phillips Curve framework, we find that thisphenomenon-sometimes attributed to low global inflation-has been primarily causedby a remarkable persistence of inflation,...
Persistent link: https://www.econbiz.de/10012910359
The aim of this paper is to make a comparison between survey and time series-based estimates of capacity utilization for the Italian manufacturing sector. The comparison is focused on the actual economic crisis. Two kinds of empirical evaluation are implemented: the ability of the series to...
Persistent link: https://www.econbiz.de/10013136751
We study the real-time Granger-causal relationship between crude oil prices and US GDP growth through a simulated out-of-sample (OOS) forecasting exercise; we also provide strong evidence of in-sample predictability from oil prices to GDP. Comparing our benchmark model "without oil" against...
Persistent link: https://www.econbiz.de/10013137990
To match the NBER business cycle features it is necessary to employ Generalised Dynamic Categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition...
Persistent link: https://www.econbiz.de/10013138566