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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012213172
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
Persistent link: https://www.econbiz.de/10012660819
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Energy markets and global economic conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas - 2020
Persistent link: https://www.econbiz.de/10012221159
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
amount of support within sample, it appears to be of more limited importance from a forecasting perspective. …
Persistent link: https://www.econbiz.de/10014490330
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Artificial Intelligence Meets Computational Intelligence : Multi-Commodity Price Volatility Accuracy Forecast with Variants of Markov-Switching-GARCH-Type-Extreme Learning Machines...
Fianu, Emmanuel Senyo - 2022
systems. However, forecasting energy price volatility can be less satisfactory, especially in the era of big data because of … techniques that seamlessly cut across artificial intelligence and computational intelligence for forecasting energy price … machine model (MS-GARCH-type-ELM) alongside the selection of an appropriate model for price volatility forecasting in the …
Persistent link: https://www.econbiz.de/10013289380
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Macroeconomic forecasting and structural change
Gambetti, Luca; D’Agostino, Antonello; Giannone, Domenico - 2010
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...
Persistent link: https://www.econbiz.de/10011605213
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The role of sectoral shifts in the great moderation
Burren, Daniel - 2008
In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar period. This paper thoroughly estimates how much sectoral shifts contributed to this phenomenon called the Great Moderation. In a short section, Stock and Watson (2003) find...
Persistent link: https://www.econbiz.de/10010316043
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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The impact of central bank FX interventions on currency components
Beine, Michel; Bos, Charles S.; Laurent, Sebastian - 2005
This paper is the first attempt to assess the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates (EUR/USD and YEN/USD) over the period 1989-2003. We identify the currency components of the mean...
Persistent link: https://www.econbiz.de/10011346461