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How useful is the carry-over effect for short-term economic forecasting?
Tödter, Karl-Heinz - Deutsche Bundesbank - 2010
The carry-over effect is the advance contribution of the old year to growth in the new year. Among practitioners the informative content of the carry-over effect for short-term forecasting is undisputed and is used routinely in economic forecasting. In this paper, the carry-over effect is...
Persistent link: https://www.econbiz.de/10008727826
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MIDAS and bridge equations
Schumacher, Christian - Deutsche Bundesbank - 2014
This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS) regressions and bridge equations. Both approach are used to nowcast a low-frequency variable such as quarterly GDP growth by higher-frequency business cycle indicators. Three...
Persistent link: https://www.econbiz.de/10011093850
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U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - Deutsche Bundesbank - 2011
Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is large, distributed lag functions are typically...
Persistent link: https://www.econbiz.de/10009493254
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Evaluating macroeconomic risk forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...
Persistent link: https://www.econbiz.de/10009151246
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How informative are central bank assessments of macroeconomic risks?
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
forecast commonly imply that the outturn is expected to lie above [below] the central forecast. Investigating the inflation …
Persistent link: https://www.econbiz.de/10009151247
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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 … impact of three sources of the demographic dependence of inflation expectations using data for Germany. Overall, our findings … suggest that household-specific inflation rates and group-specific news consumption accounts for the higher expectation gaps …
Persistent link: https://www.econbiz.de/10010957123
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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
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Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
Wang, Mu-Chun - Deutsche Bundesbank - 2008
DSGE model can provide reasonable forecasts for inflation, especially with growing forecast horizons. To a certain extent …
Persistent link: https://www.econbiz.de/10005083198
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Quantifying risk and uncertainty in macroeconomic forecasts
Knüppel, Malte; Tödter, Karl-Heinz - Deutsche Bundesbank - 2007
This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...
Persistent link: https://www.econbiz.de/10005083201
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Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP
Marcellino, Massimiliano; Schumacher, Christian - Deutsche Bundesbank - 2007
This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness often emerges at the end of multivariate samples, which is sometimes...
Persistent link: https://www.econbiz.de/10005083220