Showing 1 - 10 of 116
We study the efficiency of growth and inflation forecasts published by three leading German economic research institutes during a period of time ranging from 1970 to 2017. To this end, we examine whether the information used by the research institutes when they formed their forecasts helps to...
Persistent link: https://www.econbiz.de/10012297068
The paper describes the "Halle Institute for Economic Research (IWH) Forecasting Dashboard (ForDas)". This tool aims at providing, on a non-commercial basis, historical and actual macroeconomic forecast data for the Germany economy to researchers and interested audiences. The database renders it...
Persistent link: https://www.econbiz.de/10013548670
I propose a novel approach to uncover business cycle reports' priorities and relate them to economic fluctuations. To this end, I leverage quantitative business-cycle forecasts published by leading German economic research institutes since 1970 to estimate the proportions of latent topics in...
Persistent link: https://www.econbiz.de/10014317128
I contribute to previous research on the efficient integration of forecasters' narratives into business cycle forecasts. Using a Bidirectional Encoder Representations from Transformers (BERT) model, I quantify 19,300 paragraphs from German business cycle reports (1998-2021) and classify the...
Persistent link: https://www.econbiz.de/10014635580
I use textual data to model German professional macroeconomic forecasters' information sets and use machine-learning techniques to analyze the efficiency of forecasts. To this end, I extract information from forecast reports using a combination of topic models and word embeddings. I then use...
Persistent link: https://www.econbiz.de/10012269134
We use monthly data covering a century-long sample period (1915–2021) to study whether geopolitical risk helps to forecast subsequent gold volatility. We account not only for geopolitical threats and acts, but also for 39 country-specific sources of geopolitical risk. The response of...
Persistent link: https://www.econbiz.de/10015198557
We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR‐RV) model....
Persistent link: https://www.econbiz.de/10013382234
Utilizing a machine learning technique known as random forests, we study whether regional output growth uncertainty helps to improve the accuracy of forecasts of regional output growth for 12 regions of the UK using monthly data for the period from 1970 to 2020. We use a stochastic volatility...
Persistent link: https://www.econbiz.de/10013382237
We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 agricultural commodity prices. To this end, we use high‐frequency data covering the period from 2009 to 2020 to estimate the realized variance along realized skewness, realized...
Persistent link: https://www.econbiz.de/10014503817
Komplexe Aktien- und Wechselkurstrajektoren werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und...
Persistent link: https://www.econbiz.de/10014522078