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Wieland, Volker; Wolters, Maik H. - 2012

Persistent link: https://www.econbiz.de/10010394237

Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - 2017

In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely idiosyncratic shock. We find that the bulk of the...

Persistent link: https://www.econbiz.de/10011747697

The Impact of Climate on Economic and Financial Cycles : A Markov-switching Panel Approach

Billio, Monica; Casarin, Roberto; De Cian, Enrica; … - 2021

This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov-switching framework is proposed to jointly estimate the impact of...

Persistent link: https://www.econbiz.de/10013241980

Confidence and the Transmission of Macroeconomic Uncertainty in U.S. Recessions

Zhang, Fang - 2016

This paper studies the role of confidence in the transmission of uncertainty shocks during U.S. recessions. I use smooth-transition VAR to examine the regime-dependent effect of uncertainty shocks, and a counterfactual decomposition to isolate the role of confidence when the economy is in...

Persistent link: https://www.econbiz.de/10013002329

Overcoming Data Sparsity : A Machine Learning Approach to Track the Real-Time Impact of COVID-19 in Sub-Saharan Africa

Barhoumi, Karim; Choi, Seung Mo; Iyer, Tara; Li, Jiakun; … - 2022

The COVID-19 crisis has had a tremendous economic impact for all countries. Yet, assessing the full impact of the crisis has been frequently hampered by the delayed publication of official GDP statistics in several emerging market and developing economies. This paper outlines a machine-learning...

Persistent link: https://www.econbiz.de/10014083501

Can Machine Learning Catch the COVID-19 Recession?

Goulet Coulombe, Philippe; Marcellino, Massimiliano; … - 2021

similar datasets for the US and Canada, it seems the most promising avenue for forecasting during the pandemic is to allow for … components). This and other crucial aspects of ML-based forecasting in unprecedented times are studied in an extensive pseudo …

Persistent link: https://www.econbiz.de/10013243863

Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany

Buchen, Teresa - 2013

Persistent link: https://www.econbiz.de/10013085278

Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?

Frale, Cecilia - 2009

This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate approach which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor...

Persistent link: https://www.econbiz.de/10013159077

Depression econometrics : a FAVAR model of monetary policy during the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - 2009

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

Persistent link: https://www.econbiz.de/10003904615

Assessing the macroeconomic forecasting performance of boosting : evidence for the United States, the Euro Area, and Germany

Buchen, Teresa; Wohlrabe, Klaus - 2013

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one … forecasting a wide range of macroeconomic variables. Moreover, we analyse to what extent its forecasting accuracy depends on the … commonly used information criteria. -- macroeconomic forecasting ; component-wise boosting ; large datasets ; variable …

Persistent link: https://www.econbiz.de/10009721997