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Nowcasting made easier: A toolbox for economists

Linzenich, Jan; Meunier, Baptiste - 2024

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR … simplifying two key tasks: creating new nowcasting models and improving the policy analysis. For model creation, the toolbox … nowcasting model for global GDP growth. Overall, the toolbox aims at facilitating creation, evaluation, and deployment of …

Persistent link: https://www.econbiz.de/10015199442

The ECB's tracker: Nowcasting the press conferences of the ECB

Marozzi, Armando - 2021

This paper proposes an econometric framework for nowcasting the monetary policy stance and decisions of the European … main drivers of the ECB's reaction function at every point in time. In out-of-sample nowcasting experiments, the model …

Persistent link: https://www.econbiz.de/10012661637

Business cycle synchronisation in East Asia

Moneta, Fabio; Rüffer, Rasmus - 2006

Against the background of the rapid inter- and intraregional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...

Persistent link: https://www.econbiz.de/10011604717

The evolving impact of global, region-specific and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - 2018

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...

Persistent link: https://www.econbiz.de/10011916851

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - 2011

We evaluate forecasts for the euro area in data-rich and ‘data-lean’ environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus...

Persistent link: https://www.econbiz.de/10011605425

Prediction using several macroeconomic models

Amisano, Gianni; Geweke, John - 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/10011605582

Observation driven mixed-measurement dynamic factor models with an application to credit risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - 2013

We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have missing observations, and may exhibit common...

Persistent link: https://www.econbiz.de/10011605671

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10011605778

An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies

Camba-Méndez, Gonzalo; Kapetanios, George; Papailias, Fotis - 2015

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

Persistent link: https://www.econbiz.de/10011605818

The Feldstein-Horioka fact

Giannone, Domenico; Lenza, Michele - 2008

This paper shows that general equilibrium effects can partly rationalize the high correlation between saving and investment rates observed in OECD countries. We find that once controlling for general equilibrium effects the saving-retention coefficient remains high in the 70’s but decreases...

Persistent link: https://www.econbiz.de/10011604919