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DSGE Model-Based Forecasting of Non-modelled Variables
Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - National Bureau of Economic Research (NBER) - 2009
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10005718736
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Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
Gorodnichenko, Yuriy; Ng, Serena; Mikusheva, Anna - National Bureau of Economic Research (NBER) - 2011
This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain...
Persistent link: https://www.econbiz.de/10009294897
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Can Oil Prices Forecast Exchange Rates?
Rogoff, Kenneth S; Rossi, Barbara; Ferraro, Domenico - National Bureau of Economic Research (NBER) - 2012
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10011227945
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Measuring Uncertainty about Long-Run Prediction
Watson, Mark W.; Mueller, Ulrich - National Bureau of Economic Research (NBER) - 2013
Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of...
Persistent link: https://www.econbiz.de/10010796670
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Efficient Prediction of Excess Returns
Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2008
price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are … not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …
Persistent link: https://www.econbiz.de/10005720382
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Old Europe ages: Reforms and Reform Backlashes
Ludwig, Alexander; Boersch-Supan, Axel H. - National Bureau of Economic Research (NBER) - 2010
The extent of the demographic changes in Europe is dramatic and will deeply affect future labor, financial and goods markets. The expected strain on public budgets and especially social security has already received prominent attention, but aging poses many other economic challenges that...
Persistent link: https://www.econbiz.de/10008628320
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Shocks and Crashes
Lettau, Martin; Ludvigson, Sydney C. - National Bureau of Economic Research (NBER) - 2011
Three shocks, distinguished by whether their effects are permanent or transitory, are identified to characterize the post-war dynamics of aggregate consumer spending, labor earnings, and household wealth. The first shock accounts for virtually all of the variation in consumption; we argue that...
Persistent link: https://www.econbiz.de/10009004019
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Land-price dynamics and macroeconomic fluctuations
Liu, Zheng; Zha, Tao; Wang, Pengfei - National Bureau of Economic Research (NBER) - 2011
We argue that positive co-movements between land prices and business investment are a driving force behind the broad impact of land-price dynamics on the macroeconomy. We develop an economic mechanism that captures the co-movements by incorporating two key features into a DSGE model: We...
Persistent link: https://www.econbiz.de/10009018241
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Land Prices and Unemployment
Liu, Zheng; Miao, Jianjun; Zha, Tao - National Bureau of Economic Research (NBER) - 2013
We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. The model is confronted with the U.S. macroeconomic time series. Our estimated model can account for two prominent facts observed in the data. First, the land price and...
Persistent link: https://www.econbiz.de/10010692198
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Distilling the Macroeconomic News Flow
Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - National Bureau of Economic Research (NBER) - 2013
real-time forecasting approaches. …
Persistent link: https://www.econbiz.de/10010775233