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Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - National Bureau of Economic Research (NBER) - 2013

We propose a simple cross-sectional technique to extract daily factors from economic news released at different times and frequencies. Our approach can effectively handle the large number of different announcements that are relevant for tracking current economic conditions. We apply the...

Persistent link: https://www.econbiz.de/10010775233

How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach

Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006

. This switch will vastly increase the value of the structural VAR literature for economic theory. …

Persistent link: https://www.econbiz.de/10005774407

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

Del Negro, Marco; Schorfheide, Frank; Hasegawa, Raiden B. - National Bureau of Economic Research (NBER) - 2014

We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...

Persistent link: https://www.econbiz.de/10010950792

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …

Persistent link: https://www.econbiz.de/10005779020

Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2007

Many recent papers have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these papers generally use ex post...

Persistent link: https://www.econbiz.de/10005828664

DSGE Models in a Data-Rich Environment

Boivin, Jean; Giannoni, Marc P. - National Bureau of Economic Research (NBER) - 2006

Persistent link: https://www.econbiz.de/10005714295

Systemic Risk and the Refinancing Ratchet Effect

Lo, Andrew W.; merton, robert c.; Khandani, Amir E. - National Bureau of Economic Research (NBER) - 2009

The confluence of three trends in the U.S. residential housing market---rising home prices, declining interest rates, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

Persistent link: https://www.econbiz.de/10005089229

Measuring Uncertainty about Long-Run Prediction

Watson, Mark W.; Mueller, Ulrich - National Bureau of Economic Research (NBER) - 2013

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...

Persistent link: https://www.econbiz.de/10010796670

Understanding Uncertainty Shocks and the Role of Black Swans

Veldkamp, Laura; Orlik, Anna - National Bureau of Economic Research (NBER) - 2014

A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...

Persistent link: https://www.econbiz.de/10010950795

Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys

Cheung, Yin-Wong; Chinn, Menzie - National Bureau of Economic Research (NBER) - 1999

We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...

Persistent link: https://www.econbiz.de/10005830952