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The Information Content of Capacity Utilisation Rates for Output Gap Estimates
Graff, Michael; Sturm, Jan-Egbert - 2021
From a theoretical perspective, the output gap is probably the most comprehensive and convincing concept to describe the cyclical position of an economy. Unfortunately, for practical purposes, the concept depends on the determination of potential output, which is an inherently unobservable...
Persistent link: https://www.econbiz.de/10013316121
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Does the Euro-Zone Diverge? A Stress Indicator for Analyzing Trends and Cycles in Real GDP and Inflation
Flaig, Gebhard; Wollmershaeuser, Timo - 2021
and inflation in the member countries. Stress in a country is defined as the difference between the country's actual short …
Persistent link: https://www.econbiz.de/10013317182
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Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP
Duarte, Pablo - 2014
Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...
Persistent link: https://www.econbiz.de/10013059505
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Trends and Cycles in Macro Series : The Case of US Real GDP
Caporale, Guglielmo Maria - 2018
In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP...
Persistent link: https://www.econbiz.de/10012930692
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Dimensions of Macroeconomic Uncertainty : A Common Factor Analysis
Henzel, Steffen - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10013045927
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The Great Mortgaging : Housing Finance, Crises, and Business Cycles
Jordà, Òscar - 2015
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks' balance sheets doubled in the course of the 20th century, driven by a sharp rise of...
Persistent link: https://www.econbiz.de/10013032225
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The IFO Business Cycle Clock : Circular Correlation with the Real GDP
Abberger, Klaus - 2010
The IFO Business Climate is the most important indicator for the business cycle in Germany. In 1993 the connection between the two components of the business climate – business situation and business expectations – was graphically portrayed by Ifo in a 4-quadrant scheme: the IFO Business...
Persistent link: https://www.econbiz.de/10013137883
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Synchronization and Changes in International Inflation Uncertainty
Henzel, Steffen - 2013
We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that … inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two … international shock that drives national inflation uncertainty and which is closely related to oil and commodity price uncertainty …
Persistent link: https://www.econbiz.de/10013082970
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Forecastability and Statistical Characteristics of Aggregate Oil and Gas Investments on the Norwegian Continental Shelf
Lorentzen, Sindre - 2016
We investigate the potential for statistical forecasting of aggregate oil and gas investment on the Norwegian Continental Shelf (NCS). A unique and detailed dataset containing data from 109 different fields on the NCS between 1970 and 2015 was employed. A set of 1080 autoregressive distributed...
Persistent link: https://www.econbiz.de/10012979540
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Manipulating Fiscal Forecasts : Evidence from the German States
Kauder, Bjoern - 2017
We examine whether German state governments manipulated fiscal forecasts before elections. Our data set includes three fiscal measures over the period 1980-2014. The results do not show that electoral motives influenced fiscal forecasts in West German states. By contrast, East German state...
Persistent link: https://www.econbiz.de/10012962666