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Are Emerging Market Currency Crises Predictable? - a Test

Peltonen, Tuomo - 2021

This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...

Persistent link: https://www.econbiz.de/10013318114

Density Characteristics and Density Forecast Performance : A Panel Analysis

Kenny, Geoff - 2014

effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest … density forecast performance. Controlling for the effects of common macroeconomic shocks, we apply cross-sectional and fixed … distributions tend - as a rule - not to contribute significantly to enhancing individual density forecast performance …

Persistent link: https://www.econbiz.de/10013054084

Nowcasting Business Cycle Turning Points with Stock Networks and Machine Learning

Azqueta-Gavaldon, Andres; Hirschbühl, Dominik; … - 2021

We propose a granular framework that makes use of advanced statistical methods to approximate developments in economy-wide expected corporate earnings. In particular, we evaluate the dynamic network structure of stock returns in the United States as a proxy for the transmission of shocks through...

Persistent link: https://www.econbiz.de/10013314911

Credit Growth, the Yield Curve and Financial Crisis Prediction : Evidence from a Machine Learning Approach

Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021

We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...

Persistent link: https://www.econbiz.de/10013313452

Nowcasting World Trade with Machine Learning : A Three-Step Approach

Chinn, Menzie David; Meunier, Baptiste; Stumpner, Sebastian - 2023

We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, linear gradient boosting). While much less used in the literature, the latter are found to outperform...

Persistent link: https://www.econbiz.de/10014352801

Exchange Rate Forecasting on a Napkin

Ca'Zorzi, Michele - 2018

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …

Persistent link: https://www.econbiz.de/10012918409

Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guérin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...

Persistent link: https://www.econbiz.de/10013120226

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

Forecasting Housing Investment

Cañizares Martínez, Carlos; Bondt, Gabe J. de; … - 2023

This study applies a model averaging approach to conditionally forecast housing investment in the largest euro area … investment which calls for country-specific housing market policies. A pseudo out-of-sample forecast exercise shows that our …. This suggests that there is ample scope for model averaging tools in forecast exercises, notably as they also help to …

Persistent link: https://www.econbiz.de/10014355351

The Predictive Power of Equilibrium Exchange Rate Models

Ca'Zorzi, Michele - 2020

there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but …

Persistent link: https://www.econbiz.de/10012844460