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Adams, Patrick A. - 2020

We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are … unemployment risk, and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and … unemployment are positively correlated, with tighter financial conditions corresponding to higher forecasted unemployment and …

Persistent link: https://www.econbiz.de/10012841168

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

Mol, Christine de (contributor); … - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10003380561

Exploiting the monthly data flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015

This paper develops a framework that allows us to combine the tools provided by structural models for economic interpretation and policy analysis with those of reduced-form models designed for nowcasting. We show how to map a quarterly dynamic stochastic general equilibrium (DSGE) model into a...

Persistent link: https://www.econbiz.de/10011399325

Prior selection for vector autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2012

Persistent link: https://www.econbiz.de/10009765939

Now-casting and the real-time data flow

Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013

Persistent link: https://www.econbiz.de/10009766339

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010376924

Nowcasting

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2010

We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long...

Persistent link: https://www.econbiz.de/10008771794

Comparing alternative predictors based on large-panel factor models

D'Agostino, Antonello (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003403244

(Un)predictability andf macroeconomic stability

D'Agostino, Antonello (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003403285

Nowcasting

Banbura, Marta - 2010

Persistent link: https://www.econbiz.de/10013135504