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It's in the news : developing a real time index for economic uncertainty based on Finnish news titles

Avela, Aleksi; Lehmus, Markku - 2020

Uncertainty may affect economic behavior of individuals and firms in a wide variety of ways, with typically negative consequences for economic growth. It is due to this fact, combined with rising political uncertainty observed lately in many countries, that uncertainty has gained increasing...

Persistent link: https://www.econbiz.de/10012503571

Joint Prediction Bands for Macroeconomic Risk Management

Akram, Q. Farooq - 2016

from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of … producing fan charts that better communicates the uncertainty present in forecasts from multivariate time series models. Second … the density forecasts from a multivariate time series model to assess the probability of a set of future events occurring …

Persistent link: https://www.econbiz.de/10012989353

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2014

accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density … nowcasted densities in each period using updated information on the time-varying weights. Experiments with simulated data show … incompleteness. Empirical results, based on US real-time data of 120 leading indicators, indicate that CDN gives more accurate …

Persistent link: https://www.econbiz.de/10013040417

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2015

Persistent link: https://www.econbiz.de/10013023300

Modeling and Forecasting Macroeconomic Downside Risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular trends and cyclical changes of the predictive density of GDP growth, we find an accelerating decline in the skewness of the conditional distributions, with significant,...

Persistent link: https://www.econbiz.de/10013226483

Density-conditional forecasts in dynamic multivariate models

Andersson, Michael K.; Palmqvist, Stefan Ulf; Waggoner, … - 2010

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/10009792830

Potential of business uncertainty indicators in forecasting economic activity : the case of Russia

Lola, Inna S.; Asoskov, Dmitry G. - In: Russian journal of economics 10 (2024) 4, pp. 351-364

This study investigates the utility of business uncertainty indicators as predictive tools for forecasting economic activity in the context of Russia. In an era characterized by global economic volatility and geopolitical shifts, understanding the dynamics of economic uncertainty and its impact...

Persistent link: https://www.econbiz.de/10015396286

Forecasting Risk with Markov-Switching GARCH Models : A Large-Scale Performance Study

Ardia, David - 2019

We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk,...

Persistent link: https://www.econbiz.de/10012902294

International Transmissions of Aggregate Macroeconomic Uncertainty in Small Open Economies : An Empirical Approach

Cross, Jamie - 2018

We estimate the effects of domestic and international sources of macroeconomic uncertainty in three commonly studied small open economies (SOEs): Australia, Canada and New Zealand. To this end, we propose a common stochastic volatility in mean panel VAR (CSVM-PVAR), and develop an efficient...

Persistent link: https://www.econbiz.de/10012922010

Advancing Style Analysis and Risk Modeling by Incorporating Model Uncertainty with Bayesian Model Averaging

Zhou, Hao (David) - 2013

Investors have increasing interests in sophisticated yet transparent analytic tools to handle model uncertainty, tail risk and market dynamics. This paper demonstrates how macroeconomic factor models, based on Bayesian model averaging (BMA), can help address the challenges in some specific...

Persistent link: https://www.econbiz.de/10013073771