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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
smoother in a state-space model context. The monthly factors are used to estimate current quarter GDP, called the 'nowcast …', 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 …
Persistent link: https://www.econbiz.de/10005083220
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MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area
Kuzin, Vladimir N.; Marcellino, Massimiliano; … - Deutsche Bundesbank - 2009
paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci ……cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on …
Persistent link: https://www.econbiz.de/10005083259
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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 … forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of …
Persistent link: https://www.econbiz.de/10005083316
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The Financial System in the Czech Republic, Hungary and Poland after a Decade of Transition
Schardax, Franz; Reininger, Thomas; Summer, Martin - Deutsche Bundesbank - 2001
The Czech Republic, Hungary and Poland (CEEC-3) have undertaken substantial efforts to build a new financial system under the constraints of their legacies from central planning. In this study, first we look at the banking sector. Then we give a description of bond and stock markets. These...
Persistent link: https://www.econbiz.de/10005083143
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Unemployment insurance and the business cycle: prolong benefit entitlements in bad times?
Moyen, Stéphane; Stähler, Nikolai - Deutsche Bundesbank - 2009
The aim of this paper is to study the optimal duration of unemployment benefit entitlement duration across the business cycle. We wonder if the entitlement duration should be prolonged in bad and shortened in good times. Because of consumption smoothing, such a countercyclical policy can be...
Persistent link: https://www.econbiz.de/10008533613
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The debt brake: business cycle and welfare consequences of Germany's new fiscal policy rule
Mayer, Eric; Stähler, Nikolai - Deutsche Bundesbank - 2009
In a New Keynesian DSGE model with non-Ricardian consumers, we show that automatic stabilization according to a countercyclical spending rule following the idea of the debt brake is well suited both to steer the economy and in terms of welfare. In particular, the adjustment account set up to...
Persistent link: https://www.econbiz.de/10005059028
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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 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
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How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach
Ziegler, Christina; Eickmeier, Sandra - Deutsche Bundesbank - 2006
This paper surveys existing factor forecast applications for real economic activity and inflation by means of a meta-analysis and contributes to the current debate on the determinants of the forecast performance of large-scale dynamic factor models relative to other models. We find that, on...
Persistent link: https://www.econbiz.de/10005083176
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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 … empirical application, we estimate monthly German GDP in real-time, discuss the nowcast and forecast accuracy of the model and …
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
In this paper, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...
Persistent link: https://www.econbiz.de/10005083198