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Mixed frequency models with MA components

Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018

applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both …

Persistent link: https://www.econbiz.de/10011937289

Nowcasting in a pandemic using non-parametric mixed frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...

Persistent link: https://www.econbiz.de/10012405305

Text-based recession probabilities

Ferrari, Massimo; Le Mezo, Helena - 2021

This paper proposes a new methodology based on textual analysis to forecast U.S. recessions. Specifically, the paper develops an index in the spirit of Baker et al. (2016) and Caldara and Iacoviello (2018) which tracks developments in U.S. real activity. When used in a standard recession...

Persistent link: https://www.econbiz.de/10012421073

Combining Bayesian VARs with survey density forecasts : does it pay off?

Bańbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021

This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of optimal pooling and tilting techniques, including...

Persistent link: https://www.econbiz.de/10012507233

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 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

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

Allayioti, Anastasia; Venditti, Fabrizio - 2024

Commodity prices co-move, but the strength of this co-movement changes over time due to structural factors, like changing energy intensity in production and consumption as well as changing composition of underlying shocks. This paper explores whether econometric models that exploit this...

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

Inflation persistence during periods of structural change

Hondroyiannis, George; Lazaretou, Sophia - 2004

The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and … coefficient (RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest … that inflation persistence was high during the inflationary period and the first six years of the disinflationary period …

Persistent link: https://www.econbiz.de/10009639424

quantifying and forecasting inflation risks

Kilian, Lutz; Manganelli, Simone - 2003

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation …

Persistent link: https://www.econbiz.de/10009639841

Real time estimates of the euro area output gap

Marcellino, Massimiliano; Musso, Alberto - 2010

estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and …

Persistent link: https://www.econbiz.de/10009640402