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Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model
Angelini, Elena; Banbura, Marta; Rünstler, Gerhard - 2021
We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting...
Persistent link: https://www.econbiz.de/10013316468
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Eigenvalue filtering in VAR models with application to the Czech business cycle
Beneš, Jaromír; Vávra, David - 2005
model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import …
Persistent link: https://www.econbiz.de/10011604595
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Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination
Guerin, Pierre - 2011
predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …
Persistent link: https://www.econbiz.de/10013120226
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Forecasting Inflation with Gradual Regime Shifts and Exogenous Information
Hubrich, Kirstin - 2011
-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …
Persistent link: https://www.econbiz.de/10013122536
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Diffusion Index-Based Inflation Forecasts for the Euro Area
Angelini, Elena; Henry, Jerome; Mestre, Ricardo - 2021
-country data set and a broad array of variables, in order to test the inflation forecasting performance of extracted factors at the … indicators of inflation, but the comparative advantage of the factors is less clear. Nevertheless, alternative indicators such as …
Persistent link: https://www.econbiz.de/10013320285
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Nowcasting
Banbura, Marta - 2010
We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this process is to use timely monthly information in order to nowcast key economic variables, such as e.g. GDP, that are typically collected at low frequency and published with long...
Persistent link: https://www.econbiz.de/10013135504
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Survey-Based Nowcasting of US Growth : A Real-Time Forecast Comparison Over More than 40 Years
D'Agostino, Antonello - 2012
Reliable and timely information about current economic conditions is crucial for policy makers and expectations formation. This paper demonstrates the efficacy of the Survey of Professional Forecasters (SPF) and the Purchasing Manager Indices (PMI) in anticipating US real economic activity. We...
Persistent link: https://www.econbiz.de/10013103559
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Sometimes it Helps : The Evolving Predictive Power of Spreads on GDP Dynamics
Nicoletti, Giulio - 2012
We investigate the predictive content of credit and government interest spreads with respect to the Italian GDP growth. Our analysis with Dynamic Model Averaging identifies when interest spreads were more useful predictors of economic activity: these periods are not limited to the Great...
Persistent link: https://www.econbiz.de/10013104609
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Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro Area SPF
Kenny, Geoff - 2013
macroeconomic outcomes located in the upper and lower regions of the predictive densities. For inflation and GDP growth, we find … of the predictive densities for inflation are much less informative …
Persistent link: https://www.econbiz.de/10013083207
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Prediction Using Several Macroeconomic Models
Amisano, Gianni - 2013
Prediction of macroeconomic aggregates is one of the primary functions of macroeconometric models, including dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions. This study establishes methods that improve the predictions of these models, using a...
Persistent link: https://www.econbiz.de/10013083210