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Forecasting regional industrial production with high-frequency electricity consumption data

Lehmann, Robert; Möhrle, Sascha - 2022

conduct a pseudo out-of-sample forecasting experiment for the monthly growth rate of Bavarian industrial production. We find … conventional indicators in a monthly forecasting experiment. Exploiting the high-frequency nature of the data, we find that the …

Persistent link: https://www.econbiz.de/10013362425

Oil exports and the Iranian economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2009

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short...

Persistent link: https://www.econbiz.de/10003897747

Supply, demand and monetary policy shocks in a multi-country New Keynesian model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2010

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10003974674

Country-specific oil supply shocks and the global economy : a counterfactual analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10010528313

Theory and practice of GVAR modeling

Chudik, Alexander; Pesaran, M. Hashem - 2014

The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...

Persistent link: https://www.econbiz.de/10010354717

Oil prices and the global economy : is it different this time around?

Mohaddes, Kamiar; Pesaran, M. Hashem - 2016

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

Persistent link: https://www.econbiz.de/10011502542

Macroeconomic dynamics and credit risk : a global perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10011508097

Boosting and regional economic forecasting : the case dof 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 … economic forecasting. We additionally take a closer look into the algorithm and ask which indicators get selected. All in all …

Persistent link: https://www.econbiz.de/10011557750

An empirical growth model for major oil exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2012

This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...

Persistent link: https://www.econbiz.de/10009518225

Looking into the black box of boosting : the case of Germany

Lehmann, Robert; Wohlrabe, Klaus - 2015

This paper looks into the 'fine print' of boosting for economic forecasting. By using German industrial production for … selected by the boosting algorithm over time and four different forecasting horizons. It turns out that a number of hard … therefore important to forecasting the performance of the German economy. However, there are indicators such as money supply …

Persistent link: https://www.econbiz.de/10011411839