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Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters
Heinrich, Markus; Reif, Magnus - 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/10012179853
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A Non-linear Forecast Combination Procedure for Binary Outcomes
Lahiri, Kajal; Yang, Liu - 2015
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...
Persistent link: https://www.econbiz.de/10010480821
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Uncertainty and Hyperinflation: European Inflation Dynamics after World War I
Lopez, Jose A.; Mitchener, Kris James - 2018
Fiscal deficits, elevated debt-to-GDP ratios, and high inflation rates suggest hyperinflation could have potentially … pushing a subset of European countries into hyperinflation shortly after the end of the war. Germany, Austria, Poland, and … elevated economic uncertainty directly affected inflation dynamics and the incidence of hyperinflation during the interwar …
Persistent link: https://www.econbiz.de/10011872123
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Climate Risk and Commodity Currencies
Kapfhammer, Felix; Larsen, Vegard H.; Thorsrud, Leif Anders - 2020
The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate...
Persistent link: https://www.econbiz.de/10012425694
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Climate Risk and Commodity Currencies
Kapfhammer, Felix; Larsen, Vegard; Thorsrud, Leif Anders - 2021
The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate...
Persistent link: https://www.econbiz.de/10013314753
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Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics
Lehmann, Robert; Wikman, Ida - 2023
To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The new data set will regularly be updated when...
Persistent link: https://www.econbiz.de/10014290190
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The Estimation of Reaction Functions under Tax Competition
Miniaci, Raffaele; Panteghini, Paolo; Rivolta, Giulia - 2018
Tax competition has long been studied using panel models. According to this approach, each country’s tax rate is assumed to depend on a weighted average of the tax rates applied in the rest of the world, where weights are exogenous. As a consequence, the estimated reaction functions of...
Persistent link: https://www.econbiz.de/10011815821
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How to Escape from the Debt Trap: Lessons from the Past
Mayer, Thomas; Schnabl, Gunther - 2021
, hyperinflation in Germany after World War I, inflation in Argentina since the 1980s, currency reform in Germany after WW II, and …
Persistent link: https://www.econbiz.de/10012582141
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Point and Density Forecasts for the Euro Area Using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010352397
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Estimated human capital externalities in an endogenous growth framework
Malley, Jim; Woitek, Ulrich - 2019
To better understand the quantitative implications of human capital externalities at the aggregate level, we estimate a two-sector endogenous growth model with knowledge spill-overs. To achieve this, we account for trend growth in a model consistent fashion and employ a Markov-chain Monte-Carlo...
Persistent link: https://www.econbiz.de/10012018294