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The effect of new housing supply in structural models : a forecasting performance evaluation

Girstmair, Stefan - 2024

This paper investigates the importance of including data on new housing supply in Dynamic Stochastic General … financial sector and real estate sector, they have largely overlooked housing supply. I develop an extended DSGE model that … includes both the financial sector and endogenous housing supply and show that forecasting accuracy significantly improves when …

Persistent link: https://www.econbiz.de/10014484423

Flow on conjunctural information and forecast of euro area economic activity

Heinisch, Katja (contributor); Maurin, Laurent (contributor) - 2008

Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled,...

Persistent link: https://www.econbiz.de/10003789413

Nowcasting GDP and inflation : the real-time informational content of macroeconomic data releases

Giannone, Domenico (contributor); … - 2006

This paper formalizes the process of updating the nowcast and forecast on output and inʿation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...

Persistent link: https://www.econbiz.de/10003337187

Business cycles in the euro area

Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2009

This paper shows that the EMU has not affected historical characteristics of member countries' business cycles and their cross-correlations. Member countries which had similar levels of GDP per-capita in the seventies have also experienced similar business cycles since then and no significant...

Persistent link: https://www.econbiz.de/10003831782

Early estimates of euro area real GDP growth : a bottom up approach from the production side

Hahn, Elke; Skudelny, Frauke - 2008

This paper derives forecasts for euro area real GDP growth based on a bottom up approach from the production side. That is, GDP is forecast via the forecasts of value added across the different branches of activity, which is quite new in the literature. Linear regression models in the form of...

Persistent link: https://www.econbiz.de/10003825975

A look into the factor model black box : publication lags and the role of hard and soft data in forecasting GDP

Bańbura, Marta (contributor); … - 2007

We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...

Persistent link: https://www.econbiz.de/10003472994

Real time estimates of the euro area output gap : reliability and forecasting performance

Marcellino, Massimiliano; Musso, Alberto - 2010

This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates available from 1999 to 2006. It turns out that real-time estimates of the...

Persistent link: https://www.econbiz.de/10003971060

Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - 2010

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10003973189

Forecast revisions of Mexican inflation and GDP growth

Capistrán Carmona, Carlos; López-Moctezuma, Gabriel - 2010

We analyze forecasts of inflation and GDP growth contained in Banco de México's Survey of Professional Forecasters for the period 1995-2009. The forecasts are for the current and the following year, comprising an unbalanced three-dimensional panel with multiple individual forecasters, target...

Persistent link: https://www.econbiz.de/10008737163

Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination

Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...

Persistent link: https://www.econbiz.de/10009380402