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Dissecting the financial cycle with dynamic factor models
Menden, Christian; Proano, Christian - 2017
The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...
Persistent link: https://www.econbiz.de/10011710012
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Monthly recession predictions in real time : a density forecast approach for German industrial production
Rietzler, Katja; Stephan, Sabine - 2012
prognostiziert werden kann. Dieses Verfahren ist zweistufig: Zunächst werden die Wachstumsraten der Industrieproduktion mittels … Dichtefunktion der kumulativen Wachstumsraten der Industrieproduktion abgeleitet. Der Fokus der Analyse liegt auf der Echtzeit …-Problematik, d.h. dem Umstand, dass sowohl die Referenzzeitreihe (Industrieproduktion) als auch wichtige Indikatorzeitreihen nicht …
Persistent link: https://www.econbiz.de/10009616512
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Predicting recessions in Germany with boosted regression trees
Döpke, Jörg; Fritsche, Ulrich; Pierdzioch, Christian - 2015 - First version: October 2015
We use a machine-learning approach known as Boosted Regression Trees (BRT) to reexamine the usefulness of selected leading indicators for predicting recessions. We estimate the BRT approach on German data and study the relative importance of the indicators and their marginal effects on the...
Persistent link: https://www.econbiz.de/10011381289
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Using Sentiment Surveys to Predict GDP Growth and Stock Returns
Guzman, Giselle - 2012
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10013110732
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Konjunkturprognosen: Verfahren, Erfolgskontrolle und Prognosefehler
Grömling, Michael - 2005
The economic forecasts for Germany in the period 2001 to 2003 grossly missed reality. Forecasters estimated an average … Germany even shrank by 0.1 per cent. Forecasters tend to be generally optimistic. The analysis of the forecasts in the years …
Persistent link: https://www.econbiz.de/10010262887
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...
Persistent link: https://www.econbiz.de/10010343909
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Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach
Hallin, Marc; Trucíos, Carlos - 2021
strategies. Unfortunately, due to the curse of dimensionality, their accurate estimation and forecast in large portfolios is …
Persistent link: https://www.econbiz.de/10013242339
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Questioning the News About Economic Growth : Sparse Forecasting Using Thousands of News-Based Sentiment Values
Ardia, David - 2019
Modern calculation of textual sentiment involves a myriad of choices for the actual calibration. We introduce a general sentiment engineering framework that optimizes the design for forecasting purposes. It includes the use of the elastic net for sparse data-driven selection and weighting of...
Persistent link: https://www.econbiz.de/10012901817
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ROC and PRC Approaches to Evaluate Recession Forecasts
Lahiri, Kajal; Cheng, Yang - 2023
We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...
Persistent link: https://www.econbiz.de/10014350696
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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging
Jumah, Adusei; Kunst, Robert M. - 2008
-linear VAR with threshold cointegration based on data from Germany, Japan, UK, and the U.S. Following a traditional comparative …
Persistent link: https://www.econbiz.de/10009735355