This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both quarterly and daily frequencies while remaining parsimonious....

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent expansions, normal recessions and severe recessions. We show...

Much research has been concerned with forecast efficiency regressions. Recently, Patton and Timmermann (2012) proposed a more powerful kind of forecast efficiency regression at multiple horizons, which provides evidence against the efficiency of the Fed's Greenbook forecasts. I use their...

We provide new insights on the formation of inflation expectations - in particular at a time of great financial and economic turmoil - by evaluating results from a survey conducted from July 2009 through July 2010. Participants in this survey answered a weekly questionnaire about their short-,...

The forecasting literature has identi ed two important issues: (i) several predictors have substantial and statistically signi cant predictive content, although only sporadically, and it is unclear whether this predictive content can be exploited reliably; (ii) in-sample predictive content does...

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable...

We propose a methodology to gauge the uncertainty in output gap nowcasts across a large number of commonly deployed vector autoregressions in US inflation and various measures of the output gap. Our approach constructs ensemble nowcast densities using a linear opinion pool. This yields...

This study presents a model that delivers more accurate forecasts of the revised rather initial estimates of the quarterly GDP growth rate in Switzerland during the period of the recent financial crisis. The key explanation to our findings is that our model, capitalizing on the information...

This study aimed to analyze and evaluate the implementation of the inflation targeting policy framework in Indonesia. The data used in this study are quarterly data for the period 1984 to 2008. The simultaneous model approach using two stage least square (TSLS). The results of the analysis...

A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component of the GDP growth rate represents an economic trend and is inversely proportional to the attained level of real GDP per capita itself, with the nominator being constant through...