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With or without you : do financial data help to forecast industrial production?
Kitlinski, Tobias - 2015
This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to … evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models …-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was …
Persistent link: https://www.econbiz.de/10010529472
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A daily fever curve for the Swiss economy
Burri, Marc; Kaufmann, Daniel - 2020
Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving Covid-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be...
Persistent link: https://www.econbiz.de/10012225774
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Identifying indicators of systemic risk
Hartwig, Benny; Meinerding, Christoph; Schüler, Yves - 2020
We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...
Persistent link: https://www.econbiz.de/10012234486
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A high-frequency financial conditions index for Norway
Bowe, Frida; Gerdrup, Karsten R.; Maffei-Faccioli, Nicolò - 2023
We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed...
Persistent link: https://www.econbiz.de/10013484734
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Sexonomics : Gender, Wealth, and Expectations in Financial Markets
Guzman, Giselle - 2013
I present evidence of systematically heterogeneous expectations, a violation of the Rational Expectations Hypothesis. I demonstrate that the expectations of different gender and wealth cohorts have different relative abilities to predict inflation, interest rates, unemployment, income, stock...
Persistent link: https://www.econbiz.de/10013076284
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A Macro Stress Testing Framework for Assessing Financial Stability : Evidence from Malaysia
Taskinsoy, John - 2018
The main results of the macro stress testing exercise in this paper reveal that Malaysia's banking sector is resilient, well diversified, and highly interconnected. Further, Malaysia has a thriving equity market, large bond market and growing private debt securities. Main results of the baseline...
Persistent link: https://www.econbiz.de/10012908841
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Financial Variables and Macroeconomic Forecast Errors
Barnes, Michelle L. - 2018
A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for three sets of professional forecasters: the Federal...
Persistent link: https://www.econbiz.de/10012930591
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Financial variables and macroeconomic forecast errors
Barnes, Michelle L.; Olivei, Giovanni P. - 2017 - This version: October 31, 2017
A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for three sets of professional forecasters: the Federal...
Persistent link: https://www.econbiz.de/10011817884
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Output gaps, inflation and financial cycles in the United Kingdom
Melolinna, Marko; Tóth, Máté - 2016
Persistent link: https://www.econbiz.de/10011443353
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Output gaps, inflation and financial cycles in the UK
Melolinna, Marko; Tóth, Máté - In: Empirical economics : a journal of the Institute for … 56 (2019) 3, pp. 1039-1070
Persistent link: https://www.econbiz.de/10012041692