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This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and … overvaluation, excessive credit growth, and tighter financial conditions jointly forecast higher house-prices-at-risk up to three … years ahead. House-prices-at-risk help predict future growth at-risk and financial crises. We also investigate and propose …
Persistent link: https://www.econbiz.de/10012252738
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/10012612343
-income countries, focusing on the risk of sharp declines in economic growth and of debt distress. We discuss routes to broadening this …
Persistent link: https://www.econbiz.de/10012486148
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/10012251288
Machine learning tools are well known for their success in prediction. But prediction is not causation, and causal …
Persistent link: https://www.econbiz.de/10012154563
simulations of natural disasters and various insurance options, we find that sovereign decisions on optimal risk transfer involve … ex-ante preparedness is needed to manage the risks. The paper discusses sovereign experience with disaster insurance as a … key instrument to mitigate the risks; proposes ways to judge the adequacy of insurance; and considers ways to enhance its …
Persistent link: https://www.econbiz.de/10012170086
This paper extends earlier research by adding SWIFT data on documentary collections to the short-term forecast of international trade. While SWIFT documentary collections accounted for just over one percent of world trade financing in 2020, they have strong explanatory power to forecast world...
Persistent link: https://www.econbiz.de/10012794915
We produce a social unrest risk index for 125 countries covering a period of 1996 to 2020. The risk of social unrest is … indicators covering a wide range of macro-financial, socioeconomic, development and political variables. The prediction model …
Persistent link: https://www.econbiz.de/10012796240
structures across countries and selects the optimal pool of countries to maximize out-of-sample prediction accuracy of a model …
Persistent link: https://www.econbiz.de/10012251287
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/10013169983