Showing 1 - 10 of 73
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010491332
short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …
Persistent link: https://www.econbiz.de/10010491343
An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...
Persistent link: https://www.econbiz.de/10010326204
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011451517
This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the properties of the solution method used to approximate policy functions. In particular, the solution-driven specification takes the properties of the solution method...
Persistent link: https://www.econbiz.de/10010326325
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …
Persistent link: https://www.econbiz.de/10010326452
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010491331
forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models … expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around …
Persistent link: https://www.econbiz.de/10010491342
This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the properties of the solution method used to approximate policy functions. In particular, the solution-driven specification takes the properties of the solution method...
Persistent link: https://www.econbiz.de/10013082985
We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis … forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence for the finite … unbalanced panel contain quarterly and monthly variables. The forecasting accuracy is measured against a set of benchmark models …
Persistent link: https://www.econbiz.de/10014170346