important for analyzing and forecasting economic activity. Since financial stress is not directly observable but is presumably … approximate factor model. Subsequently, applying these indicators, I analyse the effects of financial stress on economic activity …-of-sample forecasting accuracy for real GDP growth in Germany compared to a model without the indicator and other forecast benchmarks …

the implications of these scenarios in projecting the future path of fiscal aggregates. We argue that our forecasting …

forecasting volatility. We outline the genesis of this approach from similar models of turbulent flows in statistical physics and …

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …

In this paper we analyze the power of various indicators to predict growth rates of aggregate production using real …-time data. In addition, we assess their ability to predict turning points of the economy. We consider four groups of indicators …: survey data, composite indicators, real economic indicators, and financial data. Almost all indicators are found to improve …

. Using an out-of-sample forecasting exercise and a stability analysis, it is shown that core money growth carries important … information not contained in the inflation history, that its inclusion in a forecasting model can increase the forecasting … forecasting model at all horizons is the one proposed by Gerlach (2004) that includes the inflation gap, the difference between …

-of-sample forecasting capacity relative to univariate time series models of the ARMA(p; q) and ARFIMA(p; d; q) varieties. These tests speak …