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Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...

Persistent link: https://www.econbiz.de/10012842676

News Media vs. FRED-MD for Macroeconomic Forecasting

Ellingsen, Jon; Larsen, Vegard; Thorsrud, Leif Anders - 2021

Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP,...

Persistent link: https://www.econbiz.de/10013315147

An Equilibrium Theory of Nominal Exchange Rates

Hagedorn, Marcus - 2021

This paper proposes an equilibrium theory of nominal exchange rates, which offers a new perspective on various issues … features of this theory are that the nominal exchange rate is determined in international financial markets, that the risk … from the nominal exchange rate. In terms of policy, this novel theory implies that a country with an exchange rate peg and …

Persistent link: https://www.econbiz.de/10013212261

Tracking and Predicting the German Economy : Ifo vs. Pmi

Lehmann, Robert - 2020

This analysis investigates the predictive power of the most important leading indicators for the German economy, which are provided by the ifo Institute and IHS Markit. We conduct an out-of-sample, real-time forecast experiment for growth of gross domestic product and growth of gross value added...

Persistent link: https://www.econbiz.de/10012839771

The Macroeconomic Projections of the German Government : A Comparison to an Independent Forecasting Institution

Lehmann, Robert - 2019

This paper investigates the macroeconomic projections of the German government since the 1970s and compares it those of the Joint Economic Forecast, which is an in-dependent forecasting institution in Germany. Our results indicate that nominal GDP projections are upward biased for longer...

Persistent link: https://www.econbiz.de/10012892128

Forecasting GDP All Over the World Using Leading Indicators Based on Comprehensive Survey Data

Garnitz, Johanna - 2019

Comprehensive and international comparable leading indicators across countries and continents are rare. In this paper, we use a free and instantaneous available source of leading indicators, the ifo World Economic Survey (WES), to forecast growth of Gross Domestic Product (GDP) in 44 countries...

Persistent link: https://www.econbiz.de/10012867868

Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of...

Persistent link: https://www.econbiz.de/10013292495

Sudden Stop : When Did Firms Anticipate the Potential Consequences of COVID-19?

Buchheim, Lukas - 2020

COVID-19 hit firms by surprise. In a high frequency, representative panel of German firms, the business outlook declined and business uncertainty increased only when the spread of the COVID-19 pandemic led to domestic policy changes: The announcement of nation-wide school closures on March 13...

Persistent link: https://www.econbiz.de/10012828112

Optimally Imprecise Memory and Biased Forecasts

Azeredo da Silveira, Rava; Sung, Yeji; Woodford, Michael - 2021

complexity of memory measured using Shannon’s mutual information, as in models of rational inattention; but our theory differs …

Persistent link: https://www.econbiz.de/10013314916

A Comparison of Monthly Global Indicators for Forecasting Growth

This paper evaluates the predictive content of a set of alternative monthly indicators of global economic activity for nowcasting and forecasting quarterly world GDP using mixed-frequency models. We find that a recently proposed indicator that covers multiple dimensions of the global economy...

Persistent link: https://www.econbiz.de/10013315045

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