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Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such … as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we … incorporate Google search data into a Bridge Equation Model, a version of which usually belongs to the suite of forecasting models …

Persistent link: https://www.econbiz.de/10011667109

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Nowcasting GDP with a large factor model space

Eraslan, Sercan; Schröder, Maximilian - 2019

We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...

Persistent link: https://www.econbiz.de/10012119825

Shocks to transition risk

Meinerding, Christoph; Schüler, Yves; Zhang, Philipp - 2023 - December 7, 2022

We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its definition and measurement. Our shocks are instances where significant new information about the economic relevance of climate change increases the valuation of green firms over brown...

Persistent link: https://www.econbiz.de/10014227599

Pricing carbon in a multi-sector economy with social discounting

Kalsbach, Oliver; Rausch, Sebastian - 2021

Economists tend to view a uniform emissions price as the most cost-effective approach to reducing greenhouse gas emissions. This paper offers a different view, focusing on economies where society values the well-being of future generations more than private actors. Employing analytical and...

Persistent link: https://www.econbiz.de/10012596760

The output effects of commodity price volatility : evidence from exporting countries

Hachula, Michael; Hoffmann, Sebastian - 2015

Empirical evidence indicates that high oil price volatility has a dampening effect on output in countries that import commodities. Many countries, however, gain important revenues from commodity exports. This paper investigates the output effects of commodity price volatility in commodity...

Persistent link: https://www.econbiz.de/10011346638

Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - 2018

We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...

Persistent link: https://www.econbiz.de/10011903691

Short-term impacts of carbon offsetting on emissions trading schemes : empirical insights from the EU experience

Gavard, Claire; Kirat, Djamel - 2020 - This version: 22 September 2020

The Paris Agreement established a new mechanism by which a country can offset some of its emissions reductions in other countries. Its design is still under negotiation. While taking advantage of cheaper abatement opportunities enables efficiency gains, the impact on the price volatility in the...

Persistent link: https://www.econbiz.de/10012304834

How important is precautionary labor supply?

Jessen, Robin; Rostam-Afschar, Davud; Schmitz, Sebastian - 2016

We quantify the importance of precautionary labor supply using data from the German Socio- Economic Panel (SOEP) for 2001-2012. We estimate dynamic labor supply equations augmented with a measure of wage risk. Our results show that married men choose about 2.5% of their hours of work or one week...

Persistent link: https://www.econbiz.de/10011483095

Analyzing the relationships between survey forecasts for different variables and countries

Paloviita, Maritta; Viren, Matti - 2012

This paper evaluates the quality of survey forecasts, their accuracy and unbiasedness, and their overall consistency. The paper also tries to find out whether the relationships between economic variables are the same in survey data and in the actual data. In other words we analyze whether the...

Persistent link: https://www.econbiz.de/10012503030

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