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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance

Del Negro, Marco - 2014

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …

Persistent link: https://www.econbiz.de/10012458090

Risky Oil : It's All in the Tails

Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024

The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...

Persistent link: https://www.econbiz.de/10014544801

Predictable Financial Crises

Greenwood, Robin - 2020

Using historical data on post-war financial crises around the world, we show that crises are substantially predictable …

Persistent link: https://www.econbiz.de/10012481591

Short-term economic forecasting

1955

Persistent link: https://www.econbiz.de/10013456813

Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section

Chatelais, Nicolas; Stalla-Bourdillon, Arthur; Chinn, … - National Bureau of Economic Research - 2022

profitability of the IT sector. As a result, an econometrician trying to forecast economic activity with aggregate stock market …

Persistent link: https://www.econbiz.de/10013334522

A New Way of Forecasting Recessions

Leamer, Edward E. - National Bureau of Economic Research - 2022

inserted into these images where the recent data are most similar to the historical data. This amounts to a forecast. The … traditional probit model used to forecast recessions inappropriately treats every observation as a separate experiment. This new …

Persistent link: https://www.econbiz.de/10013334464

Biased Surveys

Valchev, Rosen; Gemmi, Luca - National Bureau of Economic Research - 2023

consistent with a model of strategic diversification incentives in forecast reporting. Our results caution against the use of …

Persistent link: https://www.econbiz.de/10014337840

Seemingly Virtuous Complexity in Return Prediction

Nagel, Stefan - National Bureau of Economic Research - 2025

. However, when P ≫ T , the RFF-based forecast becomes a weighted average of the T training sample returns, with weights … training windows, similarity primarily reflects temporal proximity, so the forecast reduces to a recency-weighted average of …

Persistent link: https://www.econbiz.de/10015450858

Macroeconomics Forecasts and Microeconomic Forecasters

Lamont, Owen - 1995

produce more radical forecasts. Since these more radical forecasts are in general less accurate, ex post forecast accuracy …

Persistent link: https://www.econbiz.de/10012473586

Counterfactuals, Forecasts, and Choice-Theoretic Modelling of Policy

Grossman, Herschel I. - 1984

This paper focuses on the problem of formulating an analysis of economic policy that is consistent with rational expectations. Cooley, LeRoy,and Raymon show that the Lucas and Sargent strategy for econometric policy evaluation is itself vulnerable to the logic of the Lucas critique. The present...

Persistent link: https://www.econbiz.de/10012477709