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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10011305389
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Forecasting tail risks : presented at CESifo Area Conference on Macro, Money and International Finance, February 2015
De Nicolò, Gianni; Lucchetta, Marcella - 2015
the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …
Persistent link: https://www.econbiz.de/10010498601
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10012405456
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Google it up! : a Google Trendsbased uncertainty index for the United States and Australia
Castelnuovo, Efrem; Tran, Trung Duc - 2017
We develop uncertainty indices for the United States and Australia based on freely accessible, real time Google Trends … to unemployment dynamics in Australia is found to be much milder and substantially lower than that of monetary policy …
Persistent link: https://www.econbiz.de/10011735982
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Should contact bans be lifted in Germany? : a quantitative prediction of Its effects
Donsimoni, Jean Roch; Glawion, René; Plachter, Bodo; … - 2020
Many countries consider the lifting of restrictions of social contacts (RSC). We quantify the effects of RSC for Germany. We initially employ a purely statistical approach to predicting prevalence of COVID19 if RSC were upheld after April 20. We employ these findings and feed them into our...
Persistent link: https://www.econbiz.de/10012206629
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Demographic change and public sector budgets in a federal system
Hofmann, Michael (contributor); Kempkes, Gerhard (contributor) - 2008
Persistent link: https://www.econbiz.de/10003712570
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Exchange rate forecasters' performance : evidence of skill?
McDonald, Ronald H.; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009
This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...
Persistent link: https://www.econbiz.de/10003832110
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Assets returns volatility and investment horizon : the french case
Bec, Frédérique; Gollier, Christian - 2009
-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …
Persistent link: https://www.econbiz.de/10003833321
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How much do educational outcomes matter in OECD countries?
Hanushek, Eric Alan; Woessmann, Ludger - 2010
Existing growth research provides little explanation for the very large differences in long-run growth performance across OECD countries. We show that cognitive skills can account for growth differences within the OECD, whereas a range of economic institutions and quantitative measures of...
Persistent link: https://www.econbiz.de/10008732340
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763