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Robust real-time estimates of the German output gap based on a multivariate trend-cycle decomposition
Berger, Tino; Ochsner, Christian - 2022
The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force and international integration. We provide a state of the art estimate of the German output gap between 1995 and 2022 and present a nowcasting scheme that accurately predicts the...
Persistent link: https://www.econbiz.de/10013370512
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Did output gap measurement improve over time?
Chiu, Adrian; Wieladek, Tomasz - 2012
We study whether the accuracy of real-time estimates of the output gap produced by the OECD has improved over time by examining a panel dataset on real-time output gap revisions for 15 countries from 1991 Q1 - 2005 Q4. We use a simple panel data regression and a state space model, with common...
Persistent link: https://www.econbiz.de/10009559228
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Short-term forecasting economic activity in Germany : a supply and demand side system of bridge equations
2018
-of-sample forecast evaluation setup, we are able to find informative forecasts for most of the underlying GDP components. We then show … first, that both approaches already yield informative aggregate forecasts for forecast horizons of up to 28 weeks and second …, that combining the production side and the demand side projections substantially improves the forecast performance, in …
Persistent link: https://www.econbiz.de/10011900715
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Cyclical adjustment in fiscal rules : some evidence on real-time bias for EU-15 countries
Kempkes, Gerhard - 2012
Most EU member states will adopt fiscal rules that refer to cyclically-adjusted borrowing limits. Under the standard cyclical adjustment procedure, trend increases in public debt based on cyclical components are prevented if the real-time output gaps used to calculate cyclical components balance...
Persistent link: https://www.econbiz.de/10009566470
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Fiscal policy and the assessment of output gaps in real time : an exercise in risk management
Larch, Martin; Cugnasca, Alessandro; Kumps, Diederik; … - 2019
Fiscal policymakers are expected to conduct countercyclical policies to mitigate cyclical fluctuations of output, but the assessment of cyclical conditions in real time is subject to considerable uncertainty. They face two types of risk: (i) launching discretionary measures to support or dampen...
Persistent link: https://www.econbiz.de/10011999053
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Heterogeneous expectations among professional forecasters
Conrad, Christian; Lahiri, Kajal - 2023
in inflation in 2021 and 2022. A central finding is that differences in perceptions about the workings of the economy and …
Persistent link: https://www.econbiz.de/10014472058
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Persistent link: https://www.econbiz.de/10013184356
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Forecasting inflation and real GDP : Bayesian VAR models of the New Zealand economy
Wong, Jason; Jolly, Peter - 1993
Persistent link: https://www.econbiz.de/10000914863
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Weather adjustment of economic output
Schreiber, Sven - 2017 - This version: February 2017
While recurring and regular variations of weather conditions are implicitly addressed by standard seasonal adjustment procedures of economic time series, extraordinary weather outcomes are not. We propose a way of measuring aggregate abnormal weather conditions based on available local...
Persistent link: https://www.econbiz.de/10011614063
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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
document a structural break in the mean of the term spread in 1982. When correcting for this break, the forecast performance …
Persistent link: https://www.econbiz.de/10012607106