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Nowcasting and forecasting economic growth in the Euro area using principal components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10010395082

Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

Inefficiency in Social Security Trust Funds Forecasts

Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - 2021

We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust fund balance, trust fund ratio made during 1980-2020 with horizons up to 95 years. We find that the reported deterioration in the accuracy of the forecasts during 2010’s has...

Persistent link: https://www.econbiz.de/10013313449

Sudden Stop : When Did Firms Anticipate the Potential Consequences of COVID-19?

Buchheim, Lukas - 2020

COVID-19 hit firms by surprise. In a high frequency, representative panel of German firms, the business outlook declined and business uncertainty increased only when the spread of the COVID-19 pandemic led to domestic policy changes: The announcement of nation-wide school closures on March 13...

Persistent link: https://www.econbiz.de/10012828112

Generalized stochastic gradient learning

Evans, George W.; Honkapohja, Seppo; Williams, Noah - 2005

We study the properties of generalized stochastic gradient (GSG) learning in forward-looking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related to E-stability, which governs stability under least squares learning. SG...

Persistent link: https://www.econbiz.de/10010261355

Exploring the international linkages of the euro area : a global VAR analysis

Dees, Stephane; di Mauro, Filippo; Pesaran, Mohammad Hashem - 2005

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10010276161

Global business cycles and credit risk

Pesaran, Mohammad Hashem; Schuermann, Til; Treutler, … - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10010276170

Macroeconometric modelling with a global perspective

Pesaran, Mohammad Hashem; Smith, Ron P. - 2006

This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables, xit, to their foreign counterparts,...

Persistent link: https://www.econbiz.de/10010276174

Long run macroeconomic relations in the global economy

Dees, Stephane; Holly, Sean; Pesaran, Mohammad Hashem; … - 2007

This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector...

Persistent link: https://www.econbiz.de/10010276204

Identification of new Keynesian Phillips Curves from a global perspective

Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2008

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10010276218

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