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Evaluating Real-Time Forecasts in Real-Time
Ravazzolo, Francesco - 2010
The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time - varying parameter regression framework to obtain early estimates of the final value of...
Persistent link: https://www.econbiz.de/10012717174
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The Combination of Forecasts : An Application of a Time-Varying Simple Weighting Method to Inflation Forecasts in Turkey
Saz, Gökhan - 2011
inflation rates of Turkey and propose a new weighting scheme, the time-varying simple weighting method. Our guiding principle … prospective credibility of the inflation-targeting regime of the central bank of the Republic of Turkey …
Persistent link: https://www.econbiz.de/10013124997
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An Inflation-Predicting Measure of the Output Gap in the Euro Area
Jarocinski, Marek - 2016
are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features … of the model, we evaluate the accuracy of real-time inflation forecasts from different model specifications. The version … that forecasts inflation best implies that after the 2011 sovereign debt crisis the output gap in the euro area has been …
Persistent link: https://www.econbiz.de/10012981025
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Business Cycle Dating and Forecasting with Real-Time Swiss GDP Data
Glocker, Christian - 2019
We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer...
Persistent link: https://www.econbiz.de/10012892535
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Business cycle dating and forecasting with real-time Swiss GDP data
Glocker, Christian; Wegmüller, Philipp - 2017
We develop a small-scale dynamic factor model for the Swiss economy based on an appropriately selected set of indicators. The resulting business cycle factor is in striking accordance with historical Swiss business cycle fluctuations. Our proposed model demonstrates a remarkable performance in...
Persistent link: https://www.econbiz.de/10011732586
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Real-time consideration of systematic patterns in Maltese GDP data and revisions
Debono, Nathaniel - 2024
Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...
Persistent link: https://www.econbiz.de/10014461449
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Spanish GDP short-term point and density forecasting using a mixed-frequency dynamic factor model
Fresoli, Diego - In: SERIEs : Journal of the Spanish Economic Association 15 (2024) 2, pp. 145-177
We have assessed the effect of data releases when constructing short-term point and density forecasts of the Spanish gross domestic product growth. For this purpose, we considered a real-forecasting exercise in which we defined several pseudo-data vintages that had a mixture of monthly and...
Persistent link: https://www.econbiz.de/10015073109
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GDP Growth Predictions Through the Yield Spread. Time-Variation and Structural Breaks
De Pace, Pierangelo - 2011
We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010. We evaluate the predictive performance of benchmark term-structure...
Persistent link: https://www.econbiz.de/10013134715
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A high-frequency GDP indicator for Switzerland
Kronenberg, Philipp - 2024
This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is obtained from a Bayesian mixed-frequency dynamic factor model...
Persistent link: https://www.econbiz.de/10014562886
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Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation …
Persistent link: https://www.econbiz.de/10012924242