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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021
-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …
Persistent link: https://www.econbiz.de/10012705396
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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
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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
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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
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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
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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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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and …
Persistent link: https://www.econbiz.de/10003963819
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Understanding and forecasting aggregate and disaggregate price dynamics
Bermingham, Colin; D'Agostino, Antonello - 2011
choice of data transformation. - Aggregation ; Forecasting ; Inflation …
Persistent link: https://www.econbiz.de/10009238003
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Using the global dimension to identify shocks with sign restrictions
Chudik, Alexander; Fidora, Michael - 2011
Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...
Persistent link: https://www.econbiz.de/10008935827
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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