Showing 1 - 10 of 12
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a realtime subjective measure of uncertainty...
Persistent link: https://www.econbiz.de/10011433209
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...
Persistent link: https://www.econbiz.de/10010531070
We present a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with...
Persistent link: https://www.econbiz.de/10011921940
forecasting and policy analysis. CANVAS represents a next-generation modelling effort, as it improves upon the previous generation … examine macroeconomic dynamics under significant uncertainty. We assess the out-of-sample forecasting performance of CANVAS … allows for forecasting of the medium-run macroeconomic effects of the economy at the sector level. For instance, this …
Persistent link: https://www.econbiz.de/10013482451
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...
Persistent link: https://www.econbiz.de/10009742333
indicator. In-sample forecasting results indicate that the three composite indicators are useful tools for predicting financial … stress events. The out-of-sample forecasting results suggest that for most countries, including Canada, the weighted …
Persistent link: https://www.econbiz.de/10010400740
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states "normal" and high financial stress) depends on a financial...
Persistent link: https://www.econbiz.de/10010360369
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...
Persistent link: https://www.econbiz.de/10011441674
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a...
Persistent link: https://www.econbiz.de/10011697685
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on...
Persistent link: https://www.econbiz.de/10011517122