Showing 1 - 10 of 20
. 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 short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …
Persistent link: https://www.econbiz.de/10011605156
Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled,...
Persistent link: https://www.econbiz.de/10011604971
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10011605357
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...
Persistent link: https://www.econbiz.de/10011604679
This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a "large" panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...
Persistent link: https://www.econbiz.de/10011604726
We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...
Persistent link: https://www.econbiz.de/10011604797
While fiscal forecasting and monitoring has its roots in the accountability of governments for the use of public funds … discusses the main issues and challenges in the field of fiscal forecasting from a practitioner’s perspective and places them in …
Persistent link: https://www.econbiz.de/10011604889
forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …
Persistent link: https://www.econbiz.de/10011604940
content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …
Persistent link: https://www.econbiz.de/10011604983
to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …
Persistent link: https://www.econbiz.de/10011605012