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For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10012764276
Persistent link: https://www.econbiz.de/10009124680
Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic "indicators" is...
Persistent link: https://www.econbiz.de/10009130538
Macro-economic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates an expert's touch,...
Persistent link: https://www.econbiz.de/10013142714
We build a quasi real-time leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper gives rise to an ex-ante LI that is immune to "overlapping information drawbacks". In addition, the set of variables composing the LI...
Persistent link: https://www.econbiz.de/10011539862
This contribution investigates the business cycles of Switzerland compared to its five neighboring countries Germany, Austria, Italy, France and Liechtenstein. In contrast to the widespread notion of small countries "importing" the business cycle from bigger neighbors, it is shown that the real...
Persistent link: https://www.econbiz.de/10011427978
Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic “indicators”...
Persistent link: https://www.econbiz.de/10013092865
In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we re-examine the evidence for this predictor for the...
Persistent link: https://www.econbiz.de/10014468283
We examine the short-term performance of two alternative approaches to forecasting using dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non-seasonally adjusted data...
Persistent link: https://www.econbiz.de/10013099562
Many papers have highlighted that some macroeconomic time series present structural instability. The causes of these remarkable changes in the reduced form properties of the macroeconomy is a debated argument. In literature this issue is handled with three main econometric methodologies:...
Persistent link: https://www.econbiz.de/10013063736