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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

Persistent link: https://www.econbiz.de/10010294000

Granger causality and regime inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu; Warne, Anders; Woźniak, Tomasz - 2015

algorithm for the estimation of the restricted models. We analyze a system of monthly US data on money and income. The test …

Persistent link: https://www.econbiz.de/10011605839

Measuring and Predicting Heterogeneous Recessions

Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012

This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...

Persistent link: https://www.econbiz.de/10010500207

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226

Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis

Marczak, Martyna; Gómez, Víctor - 2012

This article provides new insights into the cyclical behavior of consumer and producer real wages in the USA and … Germany. We apply two methods for the estimation of the cyclical components from the data: the approach based on the … cyclical patterns over time. From the findings of our study, we can infer that the USA and Germany differ with respect to the …

Persistent link: https://www.econbiz.de/10010309235

Predicting recessions and recoveries in real time: The euro area-wide leading indicator (ALI)

de Bondt, Gabe; Hahn, Elke - 2010

This study develops a new monthly euro Area‐wide Leading Indicator (ALI) for the euro area business cycle. It derives the composite ALI by applying a deviation cycle methodology with a one‐sided band pass filter and choosing nine leading series. Our main findings are that i) the applied...

Persistent link: https://www.econbiz.de/10011605292

Leading indicators for Euroland's business cycle

Döpke, Jörg - 1998

The paper investigates a set of possible leading indicators for Euroland's business cycle using aggregated quarterly data. The theoretical plausibility, the behavior at business cycle turning points and the mean leads are analyzed. Furthermore, evidence from cross-correlations and...

Persistent link: https://www.econbiz.de/10010275284

Trends and cycles in the Danish economy

Weissert, Christoffer Jessen - 2024

I present empirical results on the contribution of three key drivers of inflation in Denmark: an inflation trend anchored by inflation expectations; the Danish business cycle; and an energy price cycle. All three drivers contribute significantly to the development of inflation and explain most of...

Persistent link: https://www.econbiz.de/10014563915

Eigenvalue filtering in VAR models with application to the Czech business cycle

Beneš, Jaromír; Vávra, David - 2005

We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the...

Persistent link: https://www.econbiz.de/10011604595

Macroeconomic impact on expected default frequency

Åsberg, Per; Shahnazarian, Hovick - 2008

developments. Evaluations of the model show that it yields low forecast errors in terms of RMSE. The estimation results indicate …

Persistent link: https://www.econbiz.de/10010320730