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This study applies a model averaging approach to conditionally forecast housing investment in the largest euro area … investment which calls for country-specific housing market policies. A pseudo out-of-sample forecast exercise shows that our …. This suggests that there is ample scope for model averaging tools in forecast exercises, notably as they also help to …
Persistent link: https://www.econbiz.de/10014278682
overwhelmingly linear, this finding suggests that the expert judgement embedded in the ECB forecast may be characterized by some mild …
Persistent link: https://www.econbiz.de/10014343110
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10011802134
We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...
Persistent link: https://www.econbiz.de/10013553623
Persistent link: https://www.econbiz.de/10009314062
Persistent link: https://www.econbiz.de/10010481196
This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper … activity. When used in a standard recession probability model, the index outperforms the yield curve based forecast, a standard … method to forecast recessions, at medium horizons, up to 8 months. Moreover, the index contains information not included in …
Persistent link: https://www.econbiz.de/10012421073
, covering 2001Q1-2019Q4. The adaptive learning model obtains better within-sample fit for all vintages used for estimation in … the forecast exercise and for the full sample. However, the rational expectations model typically predicts real GDP growth … forecast horizon, while the adaptive learning model predicts better for the outer quarters. …
Persistent link: https://www.econbiz.de/10013492913
In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...
Persistent link: https://www.econbiz.de/10015179749
We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...
Persistent link: https://www.econbiz.de/10015179785