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Expected fiscal policy and interest rates in open economy

Dell'Erba, Salvatore; Sola, Sergio - 2011

This paper reconsiders the long term effect of fiscal policy on interest rates using a real-time dataset of macroeconomic and fiscal variables in a panel of 17 OECD countries over the period 1989-2009. We show that, after controlling for cross sectional dependence using a Factor Augmented Panel,...

Persistent link: https://www.econbiz.de/10010316727

Fiscal policy, interest rates and risk premia in open economy

Dell'Erba, Salvatore; Sola, Sergio - 2011

This paper reconsiders the effects of fiscal policy on long-term interest rates and sovereign spreads employing a Factor Augmented Panel (FAP) to control for the presence of common unobservable factors. We construct a real-time dataset of macroeconomic and fiscal variables for a panel of OECD...

Persistent link: https://www.econbiz.de/10010316733

Factor models for non-stationary series: Estimates of monthly U.S. GDP

Hengge, Martina; Leonard, Seton - 2017

This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...

Persistent link: https://www.econbiz.de/10011926762

Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models

Ben Rhomdhane, Hagher; Benlallouna, Brahim Mehdi - 2022

This study aims to construct a new monthly leading indicator for Tunisian economic activity and to forecast Tunisian quarterly real GDP (RGDP) using several mixed-frequency models. These include a mixed dynamic factor model, unrestricted mixed-data sampling (UMIDAS), and a threepass regression...

Persistent link: https://www.econbiz.de/10013179409

Nowcasting in Tunisia using large datasets and mixed frequency models

Ben Romdhane, Hager - 2021

The object of this paper is to nowcast, forecast and track changes in Tunisian economic activity during normal and crisis times. The main target variable is quarterly real GDP (RGDP) and we have collected a large and varied set of monthly indicators as predictors. We use several mixed frequency...

Persistent link: https://www.econbiz.de/10012606380

Nowcasting Bosnia and Herzegovina GDP in Real Time

Musa, Antonio - 2022

based on the flow of available monthly economic indicators that are available during the same quarter. The nowcasting …. In addition to the models, the choice of the variables and measurement of the loss function in evaluating nowcasting … performance are the core of nowcasting. In a time marked by pandemic of corona virus and war in Ukraine, nowcasting models have …

Persistent link: https://www.econbiz.de/10013432967

Sparse warcasting

Constantinescu, Mihnea - 2023

expected nonlinear effect of military action challenge the use of established nowcasting and shortterm forecasting …

Persistent link: https://www.econbiz.de/10014476136

Using national payment system data to nowcast economic activity in Azerbaijan

Huseynov, Ilkin; Ramazanova, Nazrin; Valirzayev, Hikmat - 2022

nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …

Persistent link: https://www.econbiz.de/10014374307