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Point and Density Forecasts for the Euro Area Using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010877728
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Renewed Momentum in the German Housing Market: Boom or Bubble?
Chen, Xi; Funke, Michael - CESifo - 2013
The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks … significantly disconnected from underlying economic fundamentals. Thus, there is no evidence of speculative house price bubbles in …
Persistent link: https://www.econbiz.de/10010877826
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Forecasting GDP at the Regional Level with Many Predictors
Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2012
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...
Persistent link: https://www.econbiz.de/10010877940
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Nowcasting Regional GDP: The Case of the Free State of Saxony
Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...
Persistent link: https://www.econbiz.de/10011273092
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An Empirical Growth Model for Major Oil Exporters
Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - CESifo - 2012
-run output equation with a coefficient equal to the share of capital (á). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy’s steady state growth …
Persistent link: https://www.econbiz.de/10010540249
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How Informative are the Subjective Density Forecasts of Macroeconomists?
Kenny, Geoff; Kostka, Thomas; Masera, Federico - CESifo - 2011
In this paper, we propose a framework to evaluate the information content of subjective expert density forecasts using micro data from the ECB’s Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of scoring functions which evaluate the entire predictive...
Persistent link: https://www.econbiz.de/10009386355
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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
Romain, Houssa; Mohimont, Jolan; Otrok, Chris - CESifo - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10010668472
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Optimal Asset Allocation with Factor Models for Large Portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2008
This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...
Persistent link: https://www.econbiz.de/10005765686
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Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production
Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina - CESifo - 2010
In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast models. In addition to the standard...
Persistent link: https://www.econbiz.de/10008498989
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem; Pick, Andreas - CESifo - 2008
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10005094212