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Forecasting economic activity for Estonia : The application of dynamic principal component analyses

Schulz, Christian - Eesti Pank - 2008

naive benchmark in both in-sample and out-of-sample forecast comparisons …

Persistent link: https://www.econbiz.de/10005157585

Bruneau, C.; De Bandt, O.; Flageollet, A. - Banque de France - 2003

In order to provide medium run forecasts of headline and core HICP inflation for the euro area, we assess the usefulness of dynamic factor models. We use Stock and Watson's (1999) out-of-sample methodology for models estimated over the 1988:1-2002:3 period, with balanced and unbalanced panels....

Persistent link: https://www.econbiz.de/10005056518

Inflation and the Markup in the Euro Area

Bruneau, C.; De bandt, O.; Flageollet, A. - Banque de France - 2004

The paper implements a consistent empirical strategy in order to investigate the behaviour of the markup over the cycle and its contribution to inflation movements. We model the price series as I(2) components and use polynomial cointegration in order to recover a long-run price schedule. We do...

Persistent link: https://www.econbiz.de/10005056520

Forecasting Inflation using Economic Indicators: the Case of France

Bruneau, C.; De Bandt, O.; Flageollet, A.; Michaux, E. - Banque de France - 2003

In order to provide short run forecasts of headline and core HICP inflation for France, we assess the forecasting performance of a large set of economic indicators, individually and jointly, as well as using dynamic factor models. We run out-of-sample forecasts implementing the Stock and Watson...

Persistent link: https://www.econbiz.de/10005056546

Nowcasting Chinese GDP: Information Content of Economic and Financial Data

Yiu, Matthew S.; Chow, Kenneth K. - Hong Kong Institute for Monetary Research (HKIMR), … - 2011

.e. current-quarter forecast) the annual growth rate of China¡¦s quarterly GDP. The data set contains 189 indicator series of …. The identified model generates out-of-sample nowcasts for China's GDP with smaller mean squared forecast errors than those …

Persistent link: https://www.econbiz.de/10008852396

The Importance of Updating: Evidence from a Brazilian Nowcasting Model

Bragoli, Daniela; Metelli, Luca; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014

How often should we update predictions for economic activity? Gross domestic product is a quarterly variable disseminated usually a couple of months after the end of the quarter, but many other macroeconomic indicators are released with a higher frequency, and financial markets react very...

Persistent link: https://www.econbiz.de/10011075127

Analysing and forecasting price dynamics across euro area countries and sectors: A panel VAR approach

Dees, Stephane; Güntner, Jochen - Institut für Volkswirtschaftslehre, … - 2014

side. In out-of-sample forecast exercises, the PVAR model fares comparatively well against common alternatives, although … short-horizon forecast errors tend to be large when we consider only the period of the recent financial crisis. The second …

Persistent link: https://www.econbiz.de/10011075752

Now-casting and the real-time data flow

Banbura, Marta; Giannone, Domenico; Modugno, Michele; … - C.E.P.R. Discussion Papers - 2012

The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market...

Persistent link: https://www.econbiz.de/10011084671

Disagreement Among Forecasters in G7 Countries

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jiri - In: The Review of Economics and Statistics 94 (2012) 4, pp. 1081-1096

We investigate determinants of disagreement—cross-sectional dispersion of individual forecasts—about key economic indicators. Disagreement about economic activity, in particular about GDP growth, has a distinct dynamic from disagreement about prices: inflation and interest rates....

Persistent link: https://www.econbiz.de/10011009937

Sveriges Riksbank's Inflation Interval Forecasts 1999-2005

Lundholm, Michael - Nationalekonomiska institutionen, Stockholms Universitet - 2010

realised inflation with the stated ex ante coverage probabilities 50, 75 and 90 percent? In total 150 interval forecast 1999:Q2 …-2005:Q2 are assessed for CPI and KPIX. The main result is that the forecast uncertainty is understated, but there are … substantial differences between individual forecast origins and inflation measures. …

Persistent link: https://www.econbiz.de/10008553047

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