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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
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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
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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
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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
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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
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Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance
Manescu, Cristiana - 2015
This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes … propose a forecast combination approach to predict quarterly real Brent oil prices. A four-model combination (consisting of … than the futures and the random walk up to 11 quarters ahead, on average, and generates a forecast whose performance is …
Persistent link: https://www.econbiz.de/10013032606
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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
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Forecast Performance in the ECB SPF : Ability or Chance?
Meyler, Aidan - 2020
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … horizons, the aggregate (consensus) SPF forecast performs best …
Persistent link: https://www.econbiz.de/10012842351
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What Can Probability Forecasts Tell Us About Inflation Risks?
Garcia, Juan Angel - 2007
A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF) using a new methodology. The main conclusion from our...
Persistent link: https://www.econbiz.de/10012775829
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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