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Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany

Buchen, Teresa - 2013

to the fit. Using data for the United States, the euro area and Germany, we assess the performance of boosting when …

Persistent link: https://www.econbiz.de/10013085278

Assessing the macroeconomic forecasting performance of boosting : evidence for the United States, the Euro Area, and Germany

Buchen, Teresa; Wohlrabe, Klaus - 2013

to the fit. Using data for the United States, the euro area and Germany, we assess the performance of boosting when …

Persistent link: https://www.econbiz.de/10009721997

microWELT: microsimulation projection of indicators of the economic effects of population ageing based on disaggregated national transfer accounts

Spielauer, Martin; Horvath, Thomas; Fink, Marian; … - 2020

This paper studies how changes in the population composition by education and family characteristics impact on indicators of the economic effects of population ageing based on National Transfer Accounts (NTAs). NTAs constitute cross-sectional per-capita age-profiles of the key variables of...

Persistent link: https://www.econbiz.de/10012297299

Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf (contributor); … - 2006

-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the … nonlinear or time-varying coefficient models. It turns out that most variables which have a similar level for Germany and the … that for variables which have a similar level for Germany and the Euro-area it may be reasonable to consider the German pre …

Persistent link: https://www.econbiz.de/10003375993

Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time

Döpke, Jörg - 2016

Persistent link: https://www.econbiz.de/10012989311

Macroeconomic Impact on Expected Default Freqency

Åsberg Sommar, Per; Shahnazarian, Hovick - 2008

We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...

Persistent link: https://www.econbiz.de/10014220615

Evaluating DSGE Model Forecasts of Comovements

Schorfheide, Frank - 2012

This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and...

Persistent link: https://www.econbiz.de/10013106990

Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis

Greenwood-Nimmo, Matthew - 2012

This chapter demonstrates the usefulness of the GVAR modelling framework as a tool for scenario-based forecasting and counterfactual analysis. Working with the GVAR model developed by Greenwood-Nimmo, Nguyen and Shin (2010, J. Appl. Econometrics), we first show how probabilistic forecasting can...

Persistent link: https://www.econbiz.de/10013108754

Macroeconomic impact on expected default frequency

Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008

Persistent link: https://www.econbiz.de/10003618542

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

Persistent link: https://www.econbiz.de/10011312197