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On economic evaluation of directional forecasts

Blaskowitz, Oliver; Herwartz, Helmut - 2009

directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. -- Directional … forecasts ; directional forecast value ; forecast evaluation ; economic forecast value ; mean squared forecast error ; mean …

Persistent link: https://www.econbiz.de/10003893151

Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles

Herwartz, Helmut; Kholodilin, Konstantin - 2014

forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years … signalling of stock price booms and bubbles. …

Persistent link: https://www.econbiz.de/10010400661

Dissecting models' forecasting performance

Siliverstovs, Boriss - 2015

approach is based on combination of the Cumulated Sum of Squared Forecast Error Differential (CSSFED) suggested earlier in …

Persistent link: https://www.econbiz.de/10011382631

Nowcasting GDP in Argentina : comparing the predictive ability of different models

Blanco, Emilio; D'Amato, Laura; Dogliolo, Fiorella; … - 2017

Having a correct assessment of current business cycle conditions is one of the major challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of...

Persistent link: https://www.econbiz.de/10011771629

Density-Conditional Forecasts in Dynamic Multivariate Models

Palmqvist, Stefan Ulf; Waggoner, Daniel F.; Andersson, … - 2011

When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...

Persistent link: https://www.econbiz.de/10014188954

Predicting exchange rates in Asia : new insights on the accuracy of survey forecasts

Kunze, Frederik - 2017

This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates … common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing …

Persistent link: https://www.econbiz.de/10011741554

Forecasting Macedonian GDP : evaluation of different models for short-term forecastin

Jovanovic, Branimir; Petrovska, Magdalena - Narodna Banka na Republika Makedonija - 2010

We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA model; 2) AR model estimated by the Kalman filter; 3) model that explains Macedonian GDP as a function of the foreign demand; 4) small structural model that links GDP components...

Persistent link: https://www.econbiz.de/10011623268

Forecasting gross value-added at the regional level : are sectoral disaggregated predictions superior to direct ones?

Lehmann, Robert; Wohlrabe, Klaus - 2013

In this paper, we ask whether it is possible to forecast gross value-added (GVA) and its sectoral subcomponents at the … regional level. With an autoregressive distributed lag model we forecast total and sectoral GVA for one German state (Saxony … usage of different forecast pooling strategies and factor models. Our results show that we are able to increase forecast …

Persistent link: https://www.econbiz.de/10010213032

Does economic uncertainty predict real activity in real-time?

Keijsers, Bart; Dijk, Dick van - 2022

We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

Persistent link: https://www.econbiz.de/10013375365

"Déjà vol" revisited : survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10011914124