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The empirical (ir)relevance of the interest rate assumption for central bank forecasts

Knüppel, Malte; Schultefrankenfeld, Guido - 2013

The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...

Persistent link: https://www.econbiz.de/10010311865

Households' disagreement on inflation expectations and socioeconomic media exposure in Germany

Menz, Jan-Oliver; Poppitz, Philipp - 2013

Inflation expectations are often found to depend on socioeconomic and demographic characteristics of households, such as age, income and education, however, the reasons for this systematic heterogeneity are not yet fully understood. Since accounting for these expectation differentials could help...

Persistent link: https://www.econbiz.de/10010317870

MIDAS and bridge equations

Schumacher, Christian - 2014

This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS) regressions and bridge equations. Both approach are used to nowcast a low-frequency variable such as quarterly GDP growth by higher-frequency business cycle indicators. Three...

Persistent link: https://www.econbiz.de/10010435205

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

Persistent link: https://www.econbiz.de/10010464545

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - 2015

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that … the scenario probabilities) can be performed within one model, 2) Scenarios are characterized by realizations of …

Persistent link: https://www.econbiz.de/10011335351

Credit risk interconnectedness: What does the market really know?

Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016

We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...

Persistent link: https://www.econbiz.de/10011460748

An evaluation of early warning models for systemic banking crises: Does machine learning improve predictions?

Beutel, Johannes; List, Sophia; von Schweinitz, Gregor - 2018

This paper compares the out-of-sample predictive performance of different early warning models for systemic banking crises using a sample of advanced economies covering the past 45 years. We compare a benchmark logit approach to several machine learning approaches recently proposed in the...

Persistent link: https://www.econbiz.de/10011949163

Assessing the uncertainty in central banks' inflation outlooks

Knüppel, Malte; Schultefrankenfeld, Guido - 2018

Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...

Persistent link: https://www.econbiz.de/10011963646

Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we incorporate Google search data into a Bridge Equation Model, a...

Persistent link: https://www.econbiz.de/10011667607

A severity function approach to scenario selection

Mokinski, Frieder - 2017

The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density …", which maps candidate scenarios into a scalar severity metric. The higher the value of this metric, the more harmful a … candidates. This set is determined by the condition that more severe scenarios only occur with some user-specified probability …

Persistent link: https://www.econbiz.de/10011757675