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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

On the Solvency of Nations: Cross-Country Evidence on the Dynamics of External Adjustment

Durdu, C. Bora; Mendoza, Enrique G.; Terrones, Marco E. - 2012

We test the hypothesis that net foreign asset positions are consistent with external solvency and examine the dynamics of external adjustment using data for 50 countries over the 1970-2006 period. Our analysis adapts Bohn's (2007) error-correction reaction function approach - which tests for a...

Persistent link: https://www.econbiz.de/10010500208

Does the misery index influence a U.S. president's political re-election prospects?

Adrangi, Bahram; Macri, Joseph - In: Journal of risk and financial management : JRFM 12 (2019) 1/22, pp. 1-11

We seek to determine whether a United States President's job approval rating is influenced by the Misery Index. This hypothesis is examined in two ways. First, we employ a nonlinear model that includes several macroeconomic variables: the current account deficit, exchange rate, unemployment,...

Persistent link: https://www.econbiz.de/10012022350

The effect of interventions to reduce fertility on economic growth

Ashraf, Quamrul H.; Weil, David N.; Wilde, Joshua - 2011

We assess quantitatively the effect of exogenous reductions in fertility on output per capita. Our simulation model allows for effects that run through schooling, the size and age structure of the population, capital accumulation, parental time input into child-rearing, and crowding of fixed...

Persistent link: https://www.econbiz.de/10010287727

Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?

Mertens, Elmar - 2008

No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, "CEV") propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, this could help alleviate specification problems of SVARs in...

Persistent link: https://www.econbiz.de/10011430075

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

Output volatility and openness to trade: A reassessment

Cavallo, Eduardo A. - 2007

Many economists believe that, while openness to trade increases average GDP growth rates, it also raises output volatility by exposing countries to terms-oftrade shocks. This view does not take into account that, as suggested by a recent strand of the financial fragility literature, commercial...

Persistent link: https://www.econbiz.de/10010278237

Are crises good for long-term growth? The role of political institutions

Cavallo, Alberto F.; Cavallo, Eduardo A. - 2008

This paper provides empirical evidence for the importance of institutions in determining the outcome of crises on long-term growth. Once unobserved country-specific effects and other sources of endogeneity are accounted for, political institutions affect growth through their interaction with...

Persistent link: https://www.econbiz.de/10010278293

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