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Predicting exchange rates in Asia : new insights on the accuracy of survey forecasts

Kunze, Frederik - 2017

This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the...

Persistent link: https://www.econbiz.de/10011741554

Regime-dependent commodity price dynamics : a predictive analysis

Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2021

We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...

Persistent link: https://www.econbiz.de/10012415910

Forecasting Lithium Prices

Villena, Mauricio; Quinteros, Maria; Hardy, Nicolas - 2023

The main aim of this paper is to forecast both in-sample and out-of-sample lithium prices. Specifically, we explore the empirical implications of the present value model for exchange rates, market indexes, mining company prices and related company prices in hi-tech, automotive, electric vehicle...

Persistent link: https://www.econbiz.de/10014256538

Overfitting in Judgment-Based Economic Forecasts : The Case of IMF Growth Projections

Hellwig, Klaus-Peter - 2019

, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the …

Persistent link: https://www.econbiz.de/10012895122

Nowcasting made easier : a toolbox for economists

Linzenich, Jan; Meunier, Baptiste - 2024

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

Persistent link: https://www.econbiz.de/10015179785

Point and density forecasts for the euro area using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10010257225

Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?

Berg, Tim Oliver; Henzel, Steffen - 2013

Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....

Persistent link: https://www.econbiz.de/10010342246

Forecasting Macedonian inflation : evaluation of different models for short-term forecasting

Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017

Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …

Persistent link: https://www.econbiz.de/10011717605

Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan

Proano, Christian; Tarassow, Artur - 2017

We investigate the probability forecasting performance of a three-regime dynamic ordered probit model framework …-parametric dating algorithm for the identification of these three phases. We compare the pseudo-out-of-sample forecasting skills of an …

Persistent link: https://www.econbiz.de/10011772057

Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators

Kurz-Kim, Jeong-Ryeol - 2016

forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor … on euro-area data show that the now- and forecasting performance of our new model is superior to that of the subset …

Persistent link: https://www.econbiz.de/10011566828