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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

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011441491

Efficiency gains of a European banking union

Schoenmaker, Dirk; Siegmann, Adriaan Hendrik - 2013

Persistent link: https://www.econbiz.de/10010191428

Would Protectionism Defuse Global Imbalances and Spur Economic Activity? A Scenario Analysis

Faruqee, Hamid - 2006

In the evolving analysis of global imbalances, the possibility that countries will resort to increased protectionism is often mentioned but rarely analyzed. This paper attempts to fill that gap, examining the macroeconomic implications of a shift to protectionist policies through the lens of a...

Persistent link: https://www.econbiz.de/10012732497

Forecasting Macroeconomic Risks

Adams, Patrick A. - 2020

We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the...

Persistent link: https://www.econbiz.de/10012841168

A Flexible Approach to Parametric Inference in Nonlinear Time Series Models

Koop, Gary - 2007

Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible parametric model that accommodates virtually any of these specifications - and does so in a simple way that allows for straightforward Bayesian...

Persistent link: https://www.econbiz.de/10012730175

Rational Bias in Macroeconomic Forecasts

Laster, David; Bennett, Paul B.; Geoum, In Suk - 2007

This paper develops a model of macroeconomic forecasting in which the wages firms pay their forecasters are a function …

Persistent link: https://www.econbiz.de/10014049781

Bayesian forecasting of US growth using basic time varying parameter models and expectations data

Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014

forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models … expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around …

Persistent link: https://www.econbiz.de/10010399680

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

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