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The COVID-19 shock and challenges for time series models

Bobeica, Elena; Hartwig, Benny - 2021

We document the impact of COVID-19 on frequently employed time series models, with a focus on euro area in ation. We show that for both single equation models (Phillips curves) and Vector Autoregressions (VARs) estimated parameters change notably with the pandemic. In a VAR, allowing the errors...

Persistent link: https://www.econbiz.de/10012519429

Nowcasting with large Bayesian vector autoregressions

Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...

Persistent link: https://www.econbiz.de/10012259379

Nowcasting consumer price inflation using high-frequency scanner data : evidence from Germany

Beck, Günter W.; Carstensen, Kai; Menz, Jan-Oliver; … - 2024

We study how millions of granular and weekly household scanner data combined with machine learning can help to improve the real-time nowcast of German inflation. Our nowcasting exercise targets three hierarchy levels of inflation: individual products, product groups, and headline inflation. At...

Persistent link: https://www.econbiz.de/10014527067

Nowcasting employment in the euro area

Bańbura, Marta; Belousova, Irina; Bodnár, Katalin; … - 2023

Euro area labour market variables are published with a considerable lag, longer than in the case of real GDP. We develop a suite of models to provide a more timely estimate (nowcast) of euro area quarterly employment growth based on a broad range of monthly indicators. The suite includes a batch...

Persistent link: https://www.econbiz.de/10014315194

Conditional density forecasting : a tempered importance sampling approach

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2022

This paper proposes a new and robust methodology to obtain conditional density forecasts, based on information not contained in an initial econometric model. The methodology allows to condition on expected marginal densities for a selection of variables in the model, rather than just on future...

Persistent link: https://www.econbiz.de/10013463266

The role of comovement and time-varying dynamics in forecasting commodity prices

Allayioti, Anastasia; Venditti, Fabrizio - 2024

forecast accuracy are small, with predictability varying substantially across forecast horizons and commodity indices, but they …

Persistent link: https://www.econbiz.de/10014486704

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

Marcellino, Massimiliano; Musso, Alberto - 2010

higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. No single output gap …

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

Sometimes it helps : the evolving predictive power of spreads on GDP dynamics

Nicoletti, Giulio; Passaro, Raffaele - 2012

Persistent link: https://www.econbiz.de/10009765173

News and policy foresight in a macro-finance model of the US

Badarinza, Cristian; Margaritov, Emil - 2011

We study the effects of information shocks on macroeconomic and term structure dynamics in an estimated medium-scale DSGE model for the US economy. We consider news about total factor productivity and investment-specific technology, as well as foresight about monetary policy. Our empirical...

Persistent link: https://www.econbiz.de/10008935834

Forecasting economic aggregates by disaggregates

Hendry, David F. (contributor); Hubrich, Kirstin (contributor) - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy … of the aggregate forecast of euro area and US inflation in some situations, but not in others …

Persistent link: https://www.econbiz.de/10003280663