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News media vs. FRED-MD for macroeconomic forecasting
Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020
-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …
Persistent link: https://www.econbiz.de/10012304069
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Is economic recovery a myth? : robust estimation of impulse responses
Teulings, Coen N.; Zubanov, Nick - 2010
There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF) estimated by Cerra and Saxena (2008) suggest that the effects of earlier crises were long-lasting. We show that standard estimates of IRFs are highly sensitive to...
Persistent link: https://www.econbiz.de/10003965880
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Monetary policy with diverse private expectations
Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - 2015 - This version, January 26, 2015
We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...
Persistent link: https://www.econbiz.de/10010496147
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The Nordhaus test with many zeros
Lahiri, Kajal; Zhao, Yongchen - 2020
We reformulate the Nordhaus test as a friction model where the large number of zero revisions are treated as censored, i.e., unknown values inside a small region of "imperceptibility." Using Blue Chip individual forecasts of U.S. real GDP growth, inflation, and unemployment over 1985-2020, we...
Persistent link: https://www.econbiz.de/10012226771
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From shopping to statistics : tracking and nowcasting private consumption expenditures in real-time
Fourné, Friederike; Lehmann, Robert - 2023 - This version: November 21, 2023
forecasting work. We plan to regularly publish the weekly consumption tracker in the future, thereby complementing the database …
Persistent link: https://www.econbiz.de/10014427925
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Overreaction through anchoring
Bürgi, Constantin; Ortiz, Julio L. - 2022
We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...
Persistent link: https://www.econbiz.de/10013482590
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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
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The impact of economic globalization on the shadow economy in Egypt
Farzanegan, Mohammad Reza; Hassan, Mai - 2017 - This version: 24.03.2017
This study examines the economic globalization and the shadow economy nexus in Egypt. Using time series data from 1976 to 2013, the impulse response analysis shows that the response of the shadow economy in Egypt to positive shocks in economic globalization is negative and statistically...
Persistent link: https://www.econbiz.de/10011645904
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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/10010257225
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A multi-country approach to forecasting output growth using PMIs
Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem - 2014
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … factor-augmented high-dimensional VAR model. The small sample properties of the proposed solution are investigated by Monte … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a …
Persistent link: https://www.econbiz.de/10010438196