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Deus Ex Machina? A Framework for Macro Forecasting with Machine Learning

Bolhuis, Marijn - 2020

We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to predict real output growth with lower forecast...

Persistent link: https://www.econbiz.de/10012836537

An Algorithmic Crystal Ball : Forecasts-Based on Machine Learning

Jung, Jin-Kyu - 2018

Forecasting macroeconomic variables is key to developing a view on a country's economic outlook.Most traditional forecasting models rely on fitting data to a pre-specified relationship between inputand output variables, thereby assuming a specific functional and stochastic process underlying...

Persistent link: https://www.econbiz.de/10012906888

Forecasting Social Unrest : A Machine Learning Approach

Redl, Chris; Hlatshwayo, Sandile - 2022

We produce a social unrest risk index for 125 countries covering a period of 1996 to 2020. The risk of social unrest is based on the probability of unrest in the following year derived from a machine learning model drawing on over 340 indicators covering a wide range of macro-financial,...

Persistent link: https://www.econbiz.de/10013306728

Nowcasting GDP - a Scalable Approach Using DFM, Machine Learning and Novel Data, Applied to European Economies

Dauphin, Jean-Francois; Dybczak, Kamil; Maneely, Morgan; … - 2022

This paper describes recent work to strengthen nowcasting capacity at the IMF’s European department. It motivates and compiles datasets of standard and nontraditional variables, such as Google search and air quality. It applies standard dynamic factor models (DFMs) and several machine learning...

Persistent link: https://www.econbiz.de/10013292901

Surrogate Data Models : Interpreting Large-Scale Machine Learning Crisis Prediction Models

Chan-Lau, Jorge A.; Hu, Ruofei; Ivanyna, Maksym; Qu, Ritong - 2023

Machine learning models are becoming increasingly important in the prediction of economic crises. The models, however, use datasets comprising a large number of predictors (features) which impairs model interpretability and their ability to provide adequate guidance in the design of crisis...

Persistent link: https://www.econbiz.de/10014256873

Predicting Fiscal Crises : A Machine Learning Approach

Hellwig, Klaus-Peter - 2022

In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random...

Persistent link: https://www.econbiz.de/10013306804

The Systemic Impact of Debt Default in a Multilayered Global Network Model

Porter, Nathan; Tovar, Camilo E.; Treviño, Juan; … - 2022

The world has become more interconnected over the past few decades. Against this backdrop, economic and financial contagion following adverse shocks can have a severe impact on the global economy. How systemic can the effects of contagion be? What specific transmission channels are involved?...

Persistent link: https://www.econbiz.de/10013491953

The Insolvency Regime for Large Enterprises in Italy : An Economic and Legal Assessment

Belhocine, Nazim - 2018

The modernization of Italy's insolvency framework has been the subject of much interest in recent years, related not … least to its role in potentially facilitating an efficient allocation of resources. A unique feature of Italy's insolvency … folding the special regime into the general insolvency regime, possibly with provisions to allow for state intervention in …

Persistent link: https://www.econbiz.de/10012909405

Insolvency and Enforcement Reforms in Italy

Garrido, José - 2016

the efficiency of insolvency and enforcement processes. Traditionally, these processes in Italy have taken very long … explores the recent insolvency and enforcement reforms and the remaining challenges. These reforms introduce important positive …

Persistent link: https://www.econbiz.de/10012977835

Optimal Bank Recovery

Goodhart, Charles - 2016

Banks' living wills involve both recovery and resolution. Since it may not always be clear when recovery plans or actions should be triggered, there is a role for an objective metric to trigger recovery. We outline how such a metric could be constructed meeting criteria of (i) adequate loss...

Persistent link: https://www.econbiz.de/10013002156

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