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Using survey information for improving the density nowcasting of US GDP with a focus on predictive performance during Covid-19 pandemic
Çakmaklı, Cem; Demircan, Hamza - 2020
We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...
Persistent link: https://www.econbiz.de/10012628449
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Tracking U.S. consumers in real time with a new Weekly Index of Retail Trade
Brave, Scott A.; Fogarty, Michael; Aaronson, Daniel; … - 2021
We create a new weekly index of retail trade that accurately predicts the U.S. Census Bureau's Monthly Retail Trade Survey (MRTS). The index's weekly frequency provides an early snapshot of the MRTS and allows for a more granular analysis of the aggregate consumer response to fast-moving events...
Persistent link: https://www.econbiz.de/10012653038
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Implementing an approximate dynamic factor model to nowcast GDP using sensitivity analysis
Duarte, Pablo; Süßmuth, Bernd - 2018
Dynamic factor models based on Kalman Filter techniques are frequently used to nowcast GDP. This study deals with the selection of indicators for this practice. We propose a two-tiered mechanism which is shown in a case study to produce more accurate nowcasts than a benchmark stochastic process...
Persistent link: https://www.econbiz.de/10011797765
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Yet another case of Nordic exceptionalism? A quantitative approach to an intra-Nordic and an international comparison of supreme courts' constitutional reasoning
Pettersson, Nicklas; Kelemen, Katalin - 2024
We present a systematic quantitative approach how to analyze the reasons that judges in Nordic countries publicly adduce for their decisions in constitutional matters, as implemented in the Nordic CONREASON Project. Based on encodings of forty (per court) purposively selected landmark cases,...
Persistent link: https://www.econbiz.de/10015054195
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Mining big data using parsimonious factor and shrinkage methods
Kim, Hyun Hak; Swanson, Norman - 2013
analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including bagging …, boosting, and the elastic net, among others. We do so by carrying out a forecasting horse-race, involving the estimation of 28 … different baseline model types, each constructed using a variety of specification approaches, estimation approaches, and …
Persistent link: https://www.econbiz.de/10010334247
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The anatomy of out-of-sample forecasting accuracy
Borup, Daniel; Goulet Coulombe, Philippe; Rapach, David E. - 2022
We develop metrics based on Shapley values for interpreting time-series forecasting models, including "black-box" models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics,...
Persistent link: https://www.econbiz.de/10014278179
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A unfied view of systemic risk: detecting SIFIs and forecasting the financial cycle via EWSs
Spelta, Alessandro - 2016
Following the definition of systemic risk by the Financial Stability Board, the International Monetary Fund and the Bank for International Settlements, this paper proposes a method able to simultaneously address the two dimensions in which this risk materializes: namely the cross-sectional and...
Persistent link: https://www.econbiz.de/10011739610
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Oil Price Density Forecasts: Exploring the Linkages with Stock Markets
Lombardi, Marco J.; Ravazzolo, Francesco - 2012
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what...
Persistent link: https://www.econbiz.de/10012143812
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Empirical assessment of sustainability and feasibility of government debt: The Philippines case
Qin, Duo; Cagas, Marie Anne; Ducanes, Geoffrey; … - 2005
This paper develops empirical methods of assessing the sustainability and feasibility of public debt using the No Ponzi Game criterion, using the Philippines as the testing case. Both historical data and forecasts generated by a quarterly macro-econometric model are used in the assessment....
Persistent link: https://www.econbiz.de/10010289038
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Global and Regional Business Cycles. Shocks and Propagations
Thorsrud, Leif Anders - 2013
We study the synchronization of real and nominal variables across four different regions of the world, Asia, Europe, North and South America, covering 32 different countries. Employing a FAVAR framework, we distinguish between global and regional demand and supply shocks and document the...
Persistent link: https://www.econbiz.de/10012143820