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Electronic transactions as high-frequency indicators of economic activity

Galbraith, John W. (contributor); Tkacz, Greg (contributor) - 2007

or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. However …

Persistent link: https://www.econbiz.de/10003641311

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

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

A wave of protectionism? : an analysis of economic and political considerations

Maier, Philipp (contributor) - 2008

In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism. This study evaluates the risk of...

Persistent link: https://www.econbiz.de/10003641330

Oil price movements and the global economy : a model-based assessment

Elekdaǧ, Selim Ali; Lalonde, René; Laxton, Douglas; … - 2007

We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the international transmission mechanism of shocks that drive oil...

Persistent link: https://www.econbiz.de/10003472886

Inflation targeting and price-level-path targeting in the GEM : some open economy considerations

Coletti, Donald (contributor); Lalonde, René (contributor); … - 2008

This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period. The analysis is conducted in a...

Persistent link: https://www.econbiz.de/10003711669

Commodities and monetary policy : implications for inflation and price level targeting

Coletti, Donald; Lalonde, René; Masson, Paul R.; Muir, Dirk - 2012

We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices. We find that...

Persistent link: https://www.econbiz.de/10009546871

Macroeconomic uncertainty through the lens of professional forecasters

Jo, Soojin; Sekkel, Rodrigo - 2016

We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a realtime subjective measure of uncertainty...

Persistent link: https://www.econbiz.de/10011433209

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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