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Predictive Density Aggregation : A Model for Global GDP Growth
Caselli, Francesca - 2020
In this paper we propose a novel approach to obtain the predictive density of global GDP growth. It hinges upon a bottom-up probabilistic model that estimates and combines single countries' predictive GDP growth densities, taking into account cross-country interdependencies. Specifically,we...
Persistent link: https://www.econbiz.de/10012829696
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, … - 2013
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10010128764
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Recessions, Growth and Banking Crises
Dwyer, Gerald P. - 2013
We examine the relationship of banking crises with economic growth and recessions. Our data cover 21 economies from … Product (GDP) and capital investment after banking crises. Most strikingly, twenty-five percent of counties experience no …
Persistent link: https://www.econbiz.de/10013081451
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Asian development outlook forecast accuracy 2007-2016
Ferrarini, Benno - 2019
This is done in relation to the benchmark of World Economic Outlook (WEO) projections by the International Monetary Fund. Amid much heterogeneity across countries and years, it has been found that ADO and WEO projections overlap quite closely. Both are inaccurate, especially during crisis years,...
Persistent link: https://www.econbiz.de/10011955528
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Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2019
expansions, normal recessions and severe recessions. We show that a two-state model is not sensitive enough to reliably detect … relatively mild recessions when the Great Recession of 2008/2009 is included in the sample. Adding a third state helps to clearly … distinguish normal and severe recessions, so that the model identifies reliably all business cycle turning points in our sample …
Persistent link: https://www.econbiz.de/10012098161
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A dynamic factor model for nowcasting Canadian GDP growth
Chernis, Tony; Sekkel, Rodrigo - 2017
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. The model is then used to generate nowcasts, predictions of the recent past and...
Persistent link: https://www.econbiz.de/10011592353
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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2020
We propose a simple modification of Hamilton’s (2018) time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical...
Persistent link: https://www.econbiz.de/10012233667
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility …-volatility environment prevailing since the mid-1980s. It is an important result for the detection of future recessions since, according to …
Persistent link: https://www.econbiz.de/10012227436
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The Global Economic Barometers : composite indicators for the world economy
Abberger, Klaus; Graff, Michael; Campelo, Aloisio; … - 2020
This paper presents a coincident and a leading composite monthly indicator for the world business cycle - the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection...
Persistent link: https://www.econbiz.de/10012170717