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Forecasting daily electricity prices with monthly macroeconomic variables
Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019
We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse...
Persistent link: https://www.econbiz.de/10011987142
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Business confidence and forecasting of housing prices and rents in large German cities
Kholodilin, Konstantin; Siliverstovs, Boriss - 2014
improving the forecasts, given the local nature of the real-estate markets. The forecast accuracy of different predictors is … sample size, the combinations of individual forecast do not improve the forecast accuracy. On average, the forecast …
Persistent link: https://www.econbiz.de/10010238830
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Forecasting the prices and rents for flats in large German cities
Kholodilin, Konstantin; Mense, Andreas - 2012
-of-sample forecasting exercise, we find that both pooling and accounting for spatial effects helps to substantially improve the forecast …
Persistent link: https://www.econbiz.de/10009579231
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Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination
Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011
The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap … ; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …
Persistent link: https://www.econbiz.de/10009380402
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Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …
Persistent link: https://www.econbiz.de/10009723920
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Combining the forecasts in the ECB survey of professional forecasters : can anything beat the simple average?
Genre, Véronique; Kenny, Geoff; Meyler, Aidan - 2010
unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast … bias. - Forecast combination ; forecast evaluation ; data snooping ; real-time data ; Survey of Professional Forecasters …
Persistent link: https://www.econbiz.de/10008771791
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The real-time predictive content of asset price bubbles for macro forecasts
Beckers, Benjamin - 2015
This paper contributes to the debate of whether central banks can \lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble...
Persistent link: https://www.econbiz.de/10011300629
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Reading between the lines : using media to improve German inflation forecasts
Beckers, Benjamin; Kholodilin, Konstantin; Ulbricht, Dirk - 2017
In this paper, we examine the predictive ability of automatic and expert-rated media sentiment indicators for German inflation. We find that sentiment indicators are competitive in providing inflation forecasts against a large set of common macroeconomic and financial predictors. Sophisticated...
Persistent link: https://www.econbiz.de/10011644446
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Forecasting euro area inflation using targeted predictors : is money coming back?
Falagiarda, Matteo; Sousa, João - 2017
This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area. Overall, we find strong variation in the information content of these variables over time. We show that monetary and credit aggregates are very often selected...
Persistent link: https://www.econbiz.de/10011637074
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Does the Phillips curve help to forecast euro area inflation?
Bańbura, Marta; Bobeica, Elena - 2020
breaks in the performance of most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run … in a forecaster's toolkit. We base these conclusions on an extensive forecast evaluation over 1994 - 2018, an … estimated slack or by estimates from international economic institutions; (iii) external variables do not bring forecast gains …
Persistent link: https://www.econbiz.de/10012299084