Similar Search Results

Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP

Marcellino, Massimiliano; Schumacher, Christian - Deutsche Bundesbank - 2007

', using different versions of what we call factor-based mixed-data sampling (Factor-MIDAS) approaches. We compare all possible … combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Concerning the projections, the most parsimonious MIDAS projection performs best overall. Finally, quarterly models are in …

Persistent link: https://www.econbiz.de/10005083220

MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area

Kuzin, Vladimir N.; Marcellino, Massimiliano; … - Deutsche Bundesbank - 2009

…cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci … curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence …

Persistent link: https://www.econbiz.de/10005083259

Pooling versus model selection for nowcasting with many predictors: an application to German GDP

Kuzin, Vladimir N.; Marcellino, Massimiliano; … - Deutsche Bundesbank - 2009

-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to …

Persistent link: https://www.econbiz.de/10005083316

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard; de Raaij, Gabriela - Deutsche Bundesbank - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10005083070

Households' disagreement on inflation expectations and socioeconomic media exposure in Germany

Menz, Jan-Oliver; Poppitz, Philipp - Deutsche Bundesbank - 2013

Inflation expectations are often found to depend on socioeconomic and demographic characteristics of households, such as age, income and education, however, the reasons for this systematic heterogeneity are not yet fully understood. Since accounting for these expectation differentials could help...

Persistent link: https://www.econbiz.de/10010957123

Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach

Koetter, Michael; Porath, Daniel - Deutsche Bundesbank - 2007

Efficiency is considered a key factor when evaluating a bank's performance. Moreover, efficiency enhancement is an explicit policy objective in the Single Market Directive of the European Commission. But efficiency improvements may come at the expense of deteriorating bank profits and excessive...

Persistent link: https://www.econbiz.de/10005082751

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - Deutsche Bundesbank - 2005

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10005082771

Real-time data and business cycle analysis in Germany

Döpke, Jörg - Deutsche Bundesbank - 2004

This paper examines the consequences of using "real-time" data for business cycle analysis in Germany based on a novel data set covering quarterly real output data from 1968 to 2001. Real-time output gaps are calculated. They differ considerably from their counterparts based on the most recent...

Persistent link: https://www.econbiz.de/10005083158

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

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - Deutsche Bundesbank - 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/10005083173

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian; Breitung, Jörg - Deutsche Bundesbank - 2006

This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...

Persistent link: https://www.econbiz.de/10005083178