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A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
Foroni, Claudia; Marcellino, Massimiliano - In: International journal of forecasting 30 (2014) 3, pp. 554-568
Persistent link: https://www.econbiz.de/10010513618
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Markov-switching mixed-frequency VAR models
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: International journal of forecasting 31 (2015) 3, pp. 692-711
Persistent link: https://www.econbiz.de/10011474529
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Estimating and forecasting the euro area monthly national accounts from a dynamic factor model
Angelini, Elena; Bańbura, Marta; Rünstler, Gerhard - 2008
We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et … outperforms various benchmarks, such as quarterly time series models and bridge equations in forecasting growth in quarterly GDP …
Persistent link: https://www.econbiz.de/10011604999
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A note on the predictive power of survey data in nowcasting euro area GDP
Kurz-Kim, Jeong-Ryeol - 2018
. Our main finding from a historical nowcasting simulation based on euro area GDP is that the predictive power of the survey …This paper investigates the trade-off between timeliness and quality in nowcasting practices. This trade-off arises … when the frequency of the variable to be nowcast, such as GDP, is quarterly, while that of the underlying panel data is …
Persistent link: https://www.econbiz.de/10011846875
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Early warning indicator model of financial developments using an ordered logit
Reimers, Hans-Eggert - 2012
The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can have devastating effects on the real economy. This paper aims at contributing to the literature on early warning indicator exercises for asset price development. Using a sample of 17 industrialised OECD...
Persistent link: https://www.econbiz.de/10010310845
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Corporate bond spreads and real activity in the euro area : least Angle Regression forecasting and the probability of the recession
Buchmann, Marco - 2011
This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds’ quality , their term to...
Persistent link: https://www.econbiz.de/10008901497
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Testing for the existence of a bubble in the stock market
Gerdesmeier, Dieter; Reimers, Hans-Eggert; Roffia, Barbara - 2013
Are specific developments in stock prices in line with fundamentals or do they reflect a rising bubble? And if the latter result applies, how is it possible to detect a bubble in real time? The answer to this question is of utmost relevance for a number of areas, not least for either financial...
Persistent link: https://www.econbiz.de/10009751632
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Early warning indicator model of financial developments using an ordered logit
Reimers, Hans-Eggert - 2012
The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can have devastating effects on the real economy. This paper aims at contributing to the literature on early warning indicator exercises for asset price development. Using a sample of 17 industrialised OECD...
Persistent link: https://www.econbiz.de/10009658569
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Early warning indicators : financial and macroeconomic imbalances in Central and Eastern European countries
Csortos, Orsolya; Szalai, Zoltán - 2014
In this paper we apply the Early Warning System methodology to ten Central and Eastern European Countries to find useful sets of indicators which could predict macroeconomic and financial imbalances. We argue that finding such indicators is crucial in the current monetary policy framework...
Persistent link: https://www.econbiz.de/10010403026