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Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate
Berge, Travis J. - 2021
A factor stochastic volatility model estimates the common component to estimates of the output gap produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. Output gap estimates are very uncertain, even well after the...
Persistent link: https://www.econbiz.de/10013232683
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Nowcasting Turkish GDP and News Decomposition
Modugno, Michele - 2016
Real gross domestic product (GDP) data in Turkey are released with a very long delay compared with other economies, between 10 and 13 weeks after the end of the reference quarter. To infer the current state of the economy, policy makers, media, and market practitioners examine data that are more...
Persistent link: https://www.econbiz.de/10013210403
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A nowcasting model for the growth rate of real GDP of Ecuador : implementing a time-varying intercept
González-Astudillo, Manuel; Baquero, Daniel - 2018
This paper proposes a model to nowcast the annual growth rate of real GDP for Ecuador. The specification combines monthly information of 28 macroeconomic variables with quarterly information of real GDP in a mixed-frequency approach. Additionally, our setup includes a time-varying mean...
Persistent link: https://www.econbiz.de/10011932302
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A unified framework for dimension reduction in forecasting
Barbarino, Alessandro; Bura, Efstathia - 2017
series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and … forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive … of widely used macroeconomic series data with one or two sufficient reductions delivering similar forecasting performance …
Persistent link: https://www.econbiz.de/10011708094
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Macroeconomic forecasting in times of crises
Guerrón-Quintana, Pablo A.; Zhong, Molin - 2017
We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based …
Persistent link: https://www.econbiz.de/10011708260
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Unspanned Macroeconomic Factors in the Yield Curve
Coroneo, Laura - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10013049181
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Credit Spreads as Predictors of Real-Time Economic Activity : A Bayesian Model-Averaging Approach
Faust, Jon - 2013
Employing a large number of financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios -- constructed directly from the secondary market prices of outstanding bonds -- sorted by...
Persistent link: https://www.econbiz.de/10013088925
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Heterogeneity and Unemployment Dynamics
Ahn, Hie Joo - 2020
This paper develops new estimates of flows into and out of unemployment that allow for unobserved heterogeneity across workers as well as direct effects of unemployment duration on unemployment-exit probabilities. Unlike any previous paper in this literature, we develop a complete dynamic...
Persistent link: https://www.econbiz.de/10012855699
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Heterogeneity in the Dynamics of Disaggregate Unemployment
Ahn, Hie Joo - 2016
This paper explores the role that unobserved heterogeneity within an observed category plays in the dynamics of disaggregate unemployment and in the cross-sectional differences across individuals of the duration of unemployment spells. The distribution of unobserved heterogeneity is...
Persistent link: https://www.econbiz.de/10013210435
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Bottom-up leading macroeconomic indicators : an application to non-financial corporate defaults using machine learning
Pike, Tyler; Sapriza, Horacio; Zimmermann, Tom - 2019
This paper constructs a leading macroeconomic indicator from microeconomic data using recent machine learning techniques. Using tree-based methods, we estimate probabilities of default for publicly traded non-financial firms in the United States. We then use the cross-section of out-of-sample...
Persistent link: https://www.econbiz.de/10012182392