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Anticipating business-cycle turning points in real time using density forecasts from a VAR
Schreiber, Sven - 2014 - This version: January 2014
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
Persistent link: https://www.econbiz.de/10010233998
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Forecasting business-cycle turning points with (relatively large) linear systems in real time : conference paper
Schreiber, Sven - 2013 - This preliminary version: March 2013
The detection of business-cycle turning points is usually performed with non-linear discrete-regime models such as binary dependent variable (e.g., probit or logit) or Markov-switching methods. The probit model has the drawback that the continuous underlying target variable is discretized, with...
Persistent link: https://www.econbiz.de/10010344635
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Business cycle dating and forecasting with real-time Swiss GDP data
Glocker, Christian; Wegmüller, Philipp - 2017
proposed model demonstrates a remarkable performance in short-term and medium-term forecasting. Using real-time GDP data since …
Persistent link: https://www.econbiz.de/10011732586
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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10010303756
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Composite leading indicators for Ukraine: An early warning model
Szyrmer, Janusz; Dubrovskiy, Vladimir; Golodniuk, Inna - 2009
Our objective has been to experiment with diverse economic indicators in order to help equip Ukrainian policymakers with a relatively simple tool, which could deliver warning signals about a possibility of upcoming economic problems and thereby assist the Government in designing policy...
Persistent link: https://www.econbiz.de/10010326591
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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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Recession probabilities falling from the STARs
Eraslan, Sercan; Nöller, Marvin - 2020
comprehensive real-time forecasting exercise for recessions in the US. Moreover, we propose a novel smooth transition modelling …
Persistent link: https://www.econbiz.de/10012179657
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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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Forecasting and policy making
Wieland, Volker; Wolters, Maik H. - 2012
Persistent link: https://www.econbiz.de/10010394237
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379