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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
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Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates : Evidence from Point and Density Forecasts
Anderl, Christina; Caporale, Guglielmo Maria - 2022
This paper investigates the predictive power of the shadow rate for the inflation rate in countries with a zero lower … parameters we compare the out-of-sample forecasting performance of an inflation model including a shadow rate interaction term … inflation rate are evaluated. The models including the shadow rate interaction term are found to outperform the benchmark ones …
Persistent link: https://www.econbiz.de/10013292499
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Inefficiency in Social Security Trust Funds Forecasts
Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - 2021
We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust fund balance, trust fund ratio made during 1980-2020 with horizons up to 95 years. We find that the reported deterioration in the accuracy of the forecasts during 2010’s has...
Persistent link: https://www.econbiz.de/10013313449
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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
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ROC and PRC Approaches to Evaluate Recession Forecasts
Lahiri, Kajal; Yang, Cheng - 2023
We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...
Persistent link: https://www.econbiz.de/10014348182
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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/10014260700
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READ-GER : Introducing German Real-Time Regional Accounts Data for Revision Analysis and Nowcasting
Lehmann, Robert - 2023
Accurate real-time macroeconomic data are essential for policy-making and economic nowcasting. In this paper, I introduce a real-time database for German regional economic accounts (READ-GER). The database contains real-time information for nine macroeconomic aggregates and the 16 German states....
Persistent link: https://www.econbiz.de/10014358678
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Strategic Inattention, Inflation Dynamics, and the Non-Neutrality of Money
Afrouzi, Hassan - 2020
How does competition affect information acquisition of firms and thus the response of inflation and output to monetary … uncertainty about inflation as a non-targeted moment …
Persistent link: https://www.econbiz.de/10012836931
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Domestic and Global Output Gaps as Inflation Drivers : What Does the Phillips Curve Tell?
Jasova, Martina - 2019
We study how domestic and global output gaps affect CPI inflation. We use a New-Keynesian Phillips curve framework …1-2017Q4 period. We find broadly that both global and domestic output gaps are significant drivers of inflation both in … output gaps on inflation …
Persistent link: https://www.econbiz.de/10012892246
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Boosting and Regional Economic Forecasting: The Case of Germany
Lehmann, Robert; Wohlrabe, Klaus - 2016
This paper applies component-wise boosting to the topic of regional economic forecasting. Component-wise boosting is a pre-selection algorithm of indicators for forecasting. By using unique quarterly real gross domestic product data for two German states (the Free State of Saxony and...
Persistent link: https://www.econbiz.de/10011584856