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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

Forecasting US recessions : the role of sentiment

Christiansen, Charlotte; Eriksen, Jonas Nygaard; … - In: Journal of banking & finance 49 (2014), pp. 459-468

Persistent link: https://www.econbiz.de/10010509261

Using financial indicators to predict turning points in the business cycle : the case of the leading economic index for the United States

Levanon, Gad; Manini, Jean-Claude; Ozyildirim, Ataman; … - In: International journal of forecasting 31 (2015) 2, pp. 399-425

Persistent link: https://www.econbiz.de/10011474152

Dynamic Factor Trees and Forests : a theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions

Wochner, Daniel - 2020 - This version: January 31, 2020

Factor Forests (DFF) for macroeconomic forecasting, which synthesize the recent machine learning, dynamic factor model and … proposed in Zeileis, Hothorn and Hornik (2008). DFTs and DFFs are non-linear and state-dependent forecasting models, which … powerful tree-based machine learning ensembles conditional on the state of the business cycle. The out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10012172506

A cyclical characterization of economic activity in the United States, 1887-1940

García-Ferrer, Antonio; Río, Ana del - In: Journal of Economic Studies 28 (2001) January, pp. 74-92

We analyze historical business cycles as a sum of short- and medium-term cycles defined for a particular class of unobserved component models. By associating the trend with the low frequencies of the pseudo-spectrum in the frequency domain, manipulation of the spectral bandwidth will allow us to...

Persistent link: https://www.econbiz.de/10005009730

A cyclical characterization of economic activity in the United States, 1887‐1940

García‐Ferrer, Antonio; del Río, Ana - In: Journal of Economic Studies 28 (2001) 2, pp. 74-92

We analyze historical business cycles as a sum of short‐ and medium‐term cycles defined for a particular class of unobserved component models. By associating the trend with the low frequencies of the pseudo‐spectrum in the frequency domain, manipulation of the spectral bandwidth will allow...

Persistent link: https://www.econbiz.de/10014863905

What determines the output drop after an energy price increase: Household or firm energy share?

Dhawan, Rajeev; Jeske, Karsten - 2007

During the past thirty-five years, energy use as a fraction of output has dropped significantly at both the household and the firm levels. Therefore, we investigate a dynamic stochastic generalized equilibrium model economy's response to an energy price hike for different firm and household...

Persistent link: https://www.econbiz.de/10010292312

Productivity, energy prices, and the great moderation: A new link

Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2008

We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has...

Persistent link: https://www.econbiz.de/10010292361

The role of expectations in economic fluctuations and the efficacy of monetary policy

Kurz, Mordecai; Jin, Hehui; Motolese, Maurizio - 2003

We show diverse beliefs is an important propagation mechanism of fluctuations, money non neutrality and efficacy of monetary policy. Since expectations affect demand, our theory shows economic fluctuations are mostly driven by varying demand not supply shocks. Using a competitive model with...

Persistent link: https://www.econbiz.de/10010298249

Shocks and Frictions under Right-to-Manage Wage Bargaining: A Transatlantic Perspective

Consolo, Agostino; Hertweck, Matthias S. - 2010

Persistent link: https://www.econbiz.de/10011390646

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