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Predicting the Oil Market
Calomiris, Charles W.; Melek, Nida Çakır; Mamaysky, Harry - National Bureau of Economic Research - 2021
We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...
Persistent link: https://www.econbiz.de/10012660057
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Probabilistic Prediction for Binary Treatment Choice : with Focus on Personalized Medicine
Manski, Charles F. - National Bureau of Economic Research - 2021
This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum … in indirect ways, the former applying classical statistical theory and the latter measuring prediction accuracy in test … samples. Neither approach is satisfactory. Statistical decision theory provides a coherent, generally applicable methodology …
Persistent link: https://www.econbiz.de/10012660036
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Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022
We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that...
Persistent link: https://www.econbiz.de/10013210100
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Pandemic-Era Uncertainty
Meyer, Brent H.; Mihaylov, Emil; Barrero, Jose Maria; … - National Bureau of Economic Research - 2022
We examine several measures of uncertainty to make five points. First, equity market traders and executives at nonfinancial firms have shared similar assessments about one-year-ahead uncertainty since the pandemic struck. Both the one-year VIX and our survey-based measure of firm-level...
Persistent link: https://www.econbiz.de/10013191053
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Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic
Schorfheide, Frank; Song, Dongho - National Bureau of Economic Research - 2021
We resuscitated the mixed-frequency vector autoregression (MF-VAR) developed in Schorfheide and Song (2015, JBES) to generate macroeconomic forecasts for the U.S. during the COVID-19 pandemic in real time. The model combines eleven time series observed at two frequencies: quarterly and monthly....
Persistent link: https://www.econbiz.de/10012794563
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Using Neural Networks to Predict Micro-Spatial Economic Growth
Khachiyan, Arman; Thomas, Anthony; Zhou, Huye; Hanson, … - National Bureau of Economic Research - 2021
We apply deep learning to daytime satellite imagery to predict changes in income and population at high spatial resolution in US data. For grid cells with lateral dimensions of 1.2km and 2.4km (where the average US county has dimension of 55.6km), our model predictions achieve R2 values of 0.85...
Persistent link: https://www.econbiz.de/10012794597
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Unemployment in the Time of COVID-19 : A Flow-Based Approach to Real-time Unemployment Projections
Şahin, Ayşegül; Tasci, Murat; Yan, Jin - National Bureau of Economic Research - 2021
This paper presents a flow-based methodology for real-time unemployment rate projections and shows that this approach performed considerably better at the onset of the COVID-19 recession in the spring 2020 in predicting the peak unemployment rate as well as its rapid decline over the year. It...
Persistent link: https://www.econbiz.de/10012482661
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Forecasting the U.S. Dollar in the 21st Century
Engel, Charles; Wu, Steve Pak Yeung - National Bureau of Economic Research - 2021
The level of the (log of) the exchange rate seems to have strong forecasting power for dollar exchange rates against major currencies post-2000 at medium- to long-run horizons of 12-, 36- and 60-months. We find that this is true using conventional asymptotic statistics correcting for serial...
Persistent link: https://www.econbiz.de/10012482663
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U.S. Growth in the Decade Ahead
Feldstein, Martin S. - 2010
Not all of that extra output will remain in the United States. If the trade deficit is reduced by three percent of GDP, the rise in exports and decline in imports will reduce output available for U.S. consumption and investment by about 0.3 percent a year
Persistent link: https://www.econbiz.de/10012462967
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Forecasting the Cost of U.S. Health Care in 2040
Fogel, Robert W. - 2008
One of the most important debates among health economists in rich nations is whether advances in biotechnology will spare their health care systems from a financial crisis. We must consider that prevalence rates of chronic diseases declined during the twentieth century and that this rate of...
Persistent link: https://www.econbiz.de/10012464286