Showing 1 - 10 of 62
The European Emissions Trading Scheme (ETS) is a cap and trade system to curb CO2 emissions. It has caused both direct costs (CO2 allowances) and indirect costs (higher electricity prices) to energy-intensive industries. Moreover, as there is no global CO2 agreement, the ETS could distort the...
Persistent link: https://www.econbiz.de/10011099672
The paper examines the evolution of consumer confidence indices in Australia, Canada, France, Germany, Italy, Japan, the United Kingdom and the United States of America since the 1970s, by modelling them in a multivariate framework of common macroeconomic variables for each country. Results...
Persistent link: https://www.econbiz.de/10005113579
Business investment is a very important variable for short- and medium-term economic analysis, but it is volatile and difficult to predict. Qualitative business survey data are widely used to provide indicators of economic activity ahead of the publication of official data. Traditional...
Persistent link: https://www.econbiz.de/10009386392
In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very short-term subject to a pre-selection of monthly indicators. Starting from a large information set, we select a subset of targeted predictors using data reduction techniques as in...
Persistent link: https://www.econbiz.de/10009645792
This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models …
Persistent link: https://www.econbiz.de/10011099660
In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...
Persistent link: https://www.econbiz.de/10011099661
The size and power properties of several tests of equal Mean Square Prediction Error (MSPE) and of Forecast Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of dynamic regressions. For nested models, the F-type test of forecast encompassing proposed by Clark and...
Persistent link: https://www.econbiz.de/10008459745
Recent empirical literature shows that key macro variables such as GDP and productivity display long memory dynamics. For DSGE models, we propose a �Generalized� Kalman Filter to deal effectively with this problem: our method connects to and innovates upon data-filtering techniques...
Persistent link: https://www.econbiz.de/10008626022
We present a mixed-frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real-time is compared...
Persistent link: https://www.econbiz.de/10008605945
We compare the magnitude of local productivity advantages associated with two different spatial concentration patterns in Italy � urban areas and industrial districts. The former have high population density and host a wide range of economic activities, while the latter are marked by a high...
Persistent link: https://www.econbiz.de/10009650209