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Short-Term Forecasts of Euro Area Real GDP Growth : An Assessment of Real-Time Performance Based on Vintage Data

Diron, Marie - 2021

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10013317625

Understanding and Forecasting Aggregate and Disaggregate Price Dynamics

Bermingham, Colin - 2011

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...

Persistent link: https://www.econbiz.de/10013122152

Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test

Kolasa, Marcin - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

Persistent link: https://www.econbiz.de/10013155104

Forecasting and Stress Testing with Quantile Vector Autoregression

Chavleishvili, Sulkhan - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012859199

Flow on Conjunctural Information and Forecast of Euro Area Economic Activity

Drechsel, Katja; Maurin, Laurent - 2021

Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled,...

Persistent link: https://www.econbiz.de/10013316489

Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events

Lo Duca, Marco - 2011

improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …

Persistent link: https://www.econbiz.de/10013128992

Mapping the State of Financial Stability

Sarlin, Peter - 2011

policymaker's preferences, and the forecasting horizons …

Persistent link: https://www.econbiz.de/10013120562

An MVAR Framework to Capture Extreme Events in Macro-Prudential Stress Tests

Guarda, Paolo - 2012

Severe financial turbulences are driven by high impact and low probability events that are the characteristic hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a probability distribution and are therefore very poorly captured by traditional...

Persistent link: https://www.econbiz.de/10013102100

Predicting Distress in European Banks

Betz, Frank - 2013

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...

Persistent link: https://www.econbiz.de/10013074637

How to Predict Financial Stress? An Assessment of Markov Switching Models

Duprey, Thibaut - 2017

This paper predicts phases of the financial cycle by combining 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...

Persistent link: https://www.econbiz.de/10012956250