Showing 1 - 10 of 71
We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data...
Persistent link: https://www.econbiz.de/10005034764
Leading production-based asset pricing models predict that the sources of fluctuations in real investment and (scaled) stock prices are the same. Yet, extant empirical findings point to a large difference in these sources. We revisit this empirical question by deriving a present-value relation...
Persistent link: https://www.econbiz.de/10012854485
This paper builds an innovative composite world trade cycle index (WTI) by means of a dynamic factor model to perform short-term forecasts of world trade growth of both goods and (usually neglected) services. The selection of trade indicator series is made using a multidimensional approach,...
Persistent link: https://www.econbiz.de/10012828100
We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19 recession), financial variables...
Persistent link: https://www.econbiz.de/10012829414
We describe the evolution of forecasts in the run-up to recessions. The GDP forecasts cover 63 countries for the years 1992 to 2014. The main finding is that, while forecasters are generally aware that recession years will be different from other years, they miss the magnitude of the recession...
Persistent link: https://www.econbiz.de/10012864122
This paper proposes a suite of Structural Bayesian Vector Autoregression (SBVAR) models used (i) to disentangle the main shocks driving the Spanish economy over time and (ii) to provide short and medium term forecasts of output and inflation. The suite consists of a benchmark model, that...
Persistent link: https://www.econbiz.de/10012947615
The revolving credit available to consumers changes substantially over the business cycle, life cycle, and for individuals. We show that debt changes at the same time as credit, so credit utilization is remarkably stable. From ages 20–40, for example, credit card limits grow by more than 700...
Persistent link: https://www.econbiz.de/10012931109
The purpose of the paper is two-fold: (i) to construct and analyze a novel endogenous growth model, in which unbounded growth is possible without the need to assume increasing returns to scale, and (ii) to use the model to estimate the long-run (or dynamic) costs of recessions. In our model,...
Persistent link: https://www.econbiz.de/10012889109
We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging since they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a...
Persistent link: https://www.econbiz.de/10012603217
We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, to perform short-term forecasts of world GDP quarterly growth in real time and to compute real-time business cycle probabilities. To overcome the real-time forecasting challenges, the...
Persistent link: https://www.econbiz.de/10012971237