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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - Institut für Weltwirtschaft (IfW) - 2015

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...

Persistent link: https://www.econbiz.de/10011269107

Brokers and business cycles: Does financial market volatility cause real fluctuations?

Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 1998

This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data … the future stance of the business cycle and on the volatility of industrial production. The results of our empirical … investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility. …

Persistent link: https://www.econbiz.de/10009276110

Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach

Ghonghadze, Jaba; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2009

This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a ‘canonical’ stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a selected data set on survey-based expectations...

Persistent link: https://www.econbiz.de/10005700525

Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions

Dovern, Jonas; Ziegler, Christina - Institut für Weltwirtschaft (IfW) - 2008

In this paper we analyze the power of various indicators to predict growth rates of aggregate production using real-time data. In addition, we assess their ability to predict turning points of the economy. We consider four groups of indicators: survey data, composite indicators, real economic...

Persistent link: https://www.econbiz.de/10005566178