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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …
Persistent link: https://www.econbiz.de/10011561187
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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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Evaluating the predicting power of ordered probit models for multiple business cycle phases in the U.S. and Japan
Proaño Acosta, Christian; Tarassow, Artur - 2017
We investigate the probability forecasting performance of a three-regime dynamic ordered probit model framework …-parametric dating algorithm for the identification of these three phases. We compare the pseudo-out-of-sample forecasting skills of an …
Persistent link: https://www.econbiz.de/10011772057
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10010326552
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Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10010500207
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10009511771
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726
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Global and local components of output gaps
Eckert, Florian; Mühlebach, Nina - 2021
This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...
Persistent link: https://www.econbiz.de/10012663182
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Do we need firm data to understand macroeconomic dynamics?
Lenza, Michele; Savoia, Ettore - 2024
We study the role of heterogeneity in the revenues of individual firms for euro area macroeconomic dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and an "heterogeneous VAR" (HVAR). The VAR model includes only aggregate data, while the HVAR...
Persistent link: https://www.econbiz.de/10014634826
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A MIDAS Approach to Modeling First and Second Moment Dynamics
Pettenuzzo, Davide - 2015
We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome. Specifically, our modeling approach allows for MIDAS stochastic volatility dynamics, generalizing a large literature focusing on MIDAS effects in the...
Persistent link: https://www.econbiz.de/10013033107