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Real-time consideration of systematic patterns in Maltese GDP data and revisions
Debono, Nathaniel - 2024
Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...
Persistent link: https://www.econbiz.de/10014461449
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Nowcasting the Maltese economy with a dynamic factor model
Ellul, Reuben; Ruisi, Germano - 2022
product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …
Persistent link: https://www.econbiz.de/10012818645
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Forecasting Macedonian inflation : evaluation of different models for short-term forecasting
Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017
Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …
Persistent link: https://www.econbiz.de/10011717605
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Inflation decomposition model : application to Macedonian inflation
Andonova, Danica Unevska - 2018
results of the model's forecasting performance suggest that this model can be a useful analytical tool in the process of … to MAKPAM and enriches the set of tools for forecasting and monetary policy analysis in NBRM. In this paper we highlight …
Persistent link: https://www.econbiz.de/10011926820
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2018
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on …
Persistent link: https://www.econbiz.de/10011883796
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Forecasting distress in European SME portfolios
Michala, Dimitra; Grammatikos, Theoharry; Ferreira … - 2013
We develop distress prediction models for non-financial small and medium sized enterprises (SMEs) using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that macro conditions and bankruptcy codes add predictive power...
Persistent link: https://www.econbiz.de/10011862221
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What drives the European carbon market? : macroeconomic factors and forecasts
Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024
that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …
Persistent link: https://www.econbiz.de/10014470036
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Assessing macro-fiscal risk for Latin American and Caribbean countries
Valencia, Oscar M.; Díaz, Juan Camilo; Parra, Diego A. - 2022
This paper provides a comprehensive early warning system (EWS) that balances the classical signaling approach with the best-realized machine learning (ML) model for predicting fiscal stress episodes. Using accumulated local effects (ALE), we compute a set of thresholds for the most informative...
Persistent link: https://www.econbiz.de/10014494272