Showing 1 - 10 of 112
forests to estimate our forecasting models. As an extension, we report empirical evidence on the predictive value of the …
Persistent link: https://www.econbiz.de/10015198557
We examine the forecasting power of a daily newspaper‐based index of uncertainty associated with infectious diseases …
Persistent link: https://www.econbiz.de/10013382234
Utilizing a machine learning technique known as random forests, we study whether regional output growth uncertainty helps to improve the accuracy of forecasts of regional output growth for 12 regions of the UK using monthly data for the period from 1970 to 2020. We use a stochastic volatility...
Persistent link: https://www.econbiz.de/10013382237
We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 agricultural commodity prices. To this end, we use high‐frequency data covering the period from 2009 to 2020 to estimate the realized variance along realized skewness, realized...
Persistent link: https://www.econbiz.de/10014503817
Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price...
Persistent link: https://www.econbiz.de/10010308142
Recent price trends in housing markets may reflect herding of market participants. A natural question is whether such herding, to the extent that it occurred, reflects herding in forecasts of professional forecasters. Using survey data for Canada, Japan, and the United States, we did not find...
Persistent link: https://www.econbiz.de/10010309309
We analyze more than 20,000 forecasts of nine metal prices at four different forecast horizons. We document that forecasts are heterogeneous and report that anti-herding appears to be a source of this heterogeneity. Forecaster anti-herding reflects strategic interactions among forecasters that...
Persistent link: https://www.econbiz.de/10010310454
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...
Persistent link: https://www.econbiz.de/10010275423
We revisit the sources of the bias in Federal Reserve forecasts and assess whether a precautionary motive can explain the forecast bias. In contrast to the existing literature, we use forecasts submitted by individual FOMC members to uncover members' implicit loss function. Our key finding is...
Persistent link: https://www.econbiz.de/10010294354
We study whether forecasts of the rate of change of the price of oil are rational. To this end, we consider a model that allows the shape of forecasters' loss function to be studied. The shape of forecasters' loss function may be consistent with a symmetric or an asymmetric loss function. We...
Persistent link: https://www.econbiz.de/10010369332