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The role of commodity prices in forecasting U.S. core inflation

Gospodinov, Nikolaj - 2016

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...

Persistent link: https://www.econbiz.de/10011428084

Why Has the U.S. Economy Stagnated Since the Great Recession?

Eo, Yunjong - 2020

Since the Great Recession in 2007-09, U.S. real GDP has failed to return to its previously projected path, a phenomenon widely associated with secular stagnation. We investigate whether this stagnation was due to hysteresis effects from the Great Recession, a persistent negative output gap...

Persistent link: https://www.econbiz.de/10012853370

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

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/10012546027

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

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

What is Keeping U.S. Core Inflation Low : Insights from a Bottom-Up Approach

Abdih, Yasser - 2016

factors predominantly drive core goods price changes. When comparing forecasting performance, we find that both the aggregate …

Persistent link: https://www.econbiz.de/10012977854

Crisis? What crisis? Currency vs. banking in the Financial Crisis of 1931

Ritschl, Albrecht; Sarferaz, Samad - 2010

This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through...

Persistent link: https://www.econbiz.de/10003952982

Confidence and the Transmission of Macroeconomic Uncertainty in U.S. Recessions

Zhang, Fang - 2016

This paper studies the role of confidence in the transmission of uncertainty shocks during U.S. recessions. I use smooth-transition VAR to examine the regime-dependent effect of uncertainty shocks, and a counterfactual decomposition to isolate the role of confidence when the economy is in...

Persistent link: https://www.econbiz.de/10013002329

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail …

Persistent link: https://www.econbiz.de/10010339756

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Review of economic dynamics 24 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011847185

Common and spatial drivers in regional business cycles

Artis, Michael J.; Dreger, Christian; Cholodilin, … - 2009

We examine real business cycle convergence for 41 euro area regions and 48 US states. Results obtained by a panel model with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two decades in the euro area and the US. Ongoing business...

Persistent link: https://www.econbiz.de/10003807457

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