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model in different forecasting exercises. …
Persistent link: https://www.econbiz.de/10010308389
. Using an out-of-sample forecasting exercise and a stability analysis, it is shown that core money growth carries important … information not contained in the inflation history, that its inclusion in a forecasting model can increase the forecasting … forecasting model at all horizons is the one proposed by Gerlach (2004) that includes the inflation gap, the difference between …
Persistent link: https://www.econbiz.de/10010260569
The economic forecasts for Germany in the period 2001 to 2003 grossly missed reality. Forecasters estimated an average annual growth rate of 1.6 per cent, but real GDP actually grew by only 0.3 per cent per annum. In 2003 the real GDP in Germany even shrank by 0.1 per cent. Forecasters tend to...
Persistent link: https://www.econbiz.de/10010262887
on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new …
Persistent link: https://www.econbiz.de/10010263102
addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the … particularly provide a comparison of linear and nonlinear models with respect to ex-ante forecasting. In terms of average ranks of …
Persistent link: https://www.econbiz.de/10010263693
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10010264085
Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...
Persistent link: https://www.econbiz.de/10010265458
-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …
Persistent link: https://www.econbiz.de/10010274409
matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities' reaction functions, we show that this simple method can improve forecasting performance and provide …
Persistent link: https://www.econbiz.de/10010274753
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...
Persistent link: https://www.econbiz.de/10010275423