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The effect of new housing supply in structural models : a forecasting performance evaluation
Girstmair, Stefan - 2024
This paper investigates the importance of including data on new housing supply in Dynamic Stochastic General … financial sector and real estate sector, they have largely overlooked housing supply. I develop an extended DSGE model that … includes both the financial sector and endogenous housing supply and show that forecasting accuracy significantly improves when …
Persistent link: https://www.econbiz.de/10014484423
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Forecasting of Nonlinear DSGE Model
Ivashchenko, Sergey - 2014
A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in...
Persistent link: https://www.econbiz.de/10013055171
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Do Term Premia Affect the Predictive Power of the German Yield Curve for Future Economic Activity?
Kremer, Manfred; Werner, Thomas - 2007
This paper presents and further analyses estimated term premia for Germany as the largest euro area country. The term premia are estimated within an affine arbitrage-free term structure model with two latent factors. Survey data help anchor model-implied long-horizon expectations for interest...
Persistent link: https://www.econbiz.de/10014049439
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Disciplining expectations and the forward guidance puzzle
Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020
Forward guidance operates via the expectations formation process of the agents in the economy. In standard quantitative macroeconomic models, the expectations are unobserved state variables and little scrutiny is devoted to analysing the dynamic behaviour of these expectations. We show that the...
Persistent link: https://www.econbiz.de/10012241110
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Navigating with NEMO
Kravik, Erling Motzfeldt; Mimir, Yasin - 2019
This paper describes NEMO, the main dynamic stochastic general equilibrium model used at Norges Bank for monetary policy analysis and forecasting. NEMO has been used to identify the sources of business cycle fluctuations in Norway, to conduct scenario analysis, to produce macroeconomic...
Persistent link: https://www.econbiz.de/10012115010
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The use of artificial neural networks (ANN) in forecasting housing prices in Ankara, Turkey
Kitapci, Olgun; Tosun, Ömür; Tuna, Murat Fatih; Turk, … - In: Journal of marketing and consumer behaviour in emerging … (2017) 1, pp. 4-14
The purpose of this paper is to forecast housing prices in Ankara, Turkey using the artificial neural networks (ANN … layer - one hidden layer - output layer) neural network is designed with 15 different inputs to forecast the future housing …-based housing price determination in future. Applying the artifi cial neural networks (ANN) approach for estimation of housing …
Persistent link: https://www.econbiz.de/10012116799
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Visualizing the invisible : estimating the New Keynesian output gap via a Bayesian approach
Willems, Tim - 2010
As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...
Persistent link: https://www.econbiz.de/10011378920
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call dynamic pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE) models, with and without financial frictions, for output...
Persistent link: https://www.econbiz.de/10010414783
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Estimating nonlinear heterogeneous agents models with neural networks
Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022
Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...
Persistent link: https://www.econbiz.de/10013257224
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Do recessions occur concurrently across countries? : a multinomial logistic approach
Poon, Aubrey; Zhu, Dan - 2022
We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...
Persistent link: https://www.econbiz.de/10013365832