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Nowcasting Regional GDP: The Case of the Free State of Saxony

Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - Volkswirtschaftliche Fakultät, … - 2015

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and …

Persistent link: https://www.econbiz.de/10011267848

Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

Guérin, Pierre; Leiva-Leon, Danilo - Volkswirtschaftliche Fakultät, … - 2014

This paper estimates and forecasts U.S. business cycle turning points with state-level data. The probabilities of recession are obtained from univariate and multivariate regime-switching models based on a pairwise combination of national and state-level data. We use two classes of combination...

Persistent link: https://www.econbiz.de/10011111725

A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle

Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010

nowcasting performance during a pronounced switch of business cycle phases due to the latest recession. We compare the factor … models' nowcasting performance to a random walk, autoregressive and the best-performing nowcasting models at our hands, which … improve upon the nowcasting performance of the VAR models when the model span and the nowcasting period stretch beyond a …

Persistent link: https://www.econbiz.de/10008470462

Modelos de Estimación de la Brecha de Producto: Aplicación al PIB de la República Dominicana.

Francisco, Ramirez - Volkswirtschaftliche Fakultät, … - 2011

This document compares the proprieties of different empirical methodologies to estimate the output gap and the potential output (non-observable variables of interest to the design of monetary policy and macroeconomic analysis) using Dominican Republic as a case of study. The output gap and...

Persistent link: https://www.econbiz.de/10011260201

The case for higher frequency inflation expectations

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

Persistent link: https://www.econbiz.de/10009650037

VAR forecasting using Bayesian variable selection

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic (linear and nonlinear) VARs. The performance...

Persistent link: https://www.econbiz.de/10008593003

The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey

Omay, Tolga - Volkswirtschaftliche Fakultät, … - 2008

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF)...

Persistent link: https://www.econbiz.de/10008836761

Sectoral gross value-added forecasts at the regional level: Is there any information gain?

Lehmann, Robert; Wohlrabe, Klaus - Volkswirtschaftliche Fakultät, … - 2013

In this paper, we ask whether it is possible to forecast gross-value added (GVA) and its sectoral sub-components at the regional level. We are probably the first who evaluate sectoral forecasts at the regional level using a huge data set at quarterly frequency to investigate this issue. With an...

Persistent link: https://www.econbiz.de/10011107330

Examining the Success of the Central Banks in Inflation Targeting Countries: The Dynamics of Inflation Gap and the Institutional Characteristics

Ardakani, Omid; Kishor, N. Kundan - Volkswirtschaftliche Fakultät, … - 2014

This paper analyzes the performance of central banks in 27 inflation targeting countries by examining their success in achieving their explicit inflation targets. For this purpose, we decompose the inflation gap, the difference between actual inflation and inflation target, into predictable and...

Persistent link: https://www.econbiz.de/10011113487

Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

This paper contributes to the literature by comparing predictive accuracy of one-period real-time simple seasonal ARIMA forecasts of Latvia's Gross Domestic Product (GDP) as well as by comparing a direct forecast of Latvia's GDP versus three kinds of indirect forecasts. Four main results are as...

Persistent link: https://www.econbiz.de/10005034369

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