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This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the...
Persistent link: https://www.econbiz.de/10011741554
We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of...
Persistent link: https://www.econbiz.de/10012415910
, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the …
Persistent link: https://www.econbiz.de/10012895122
In this paper, we use Google Trends data for exchange rate forecasting in the context of a broad literature review that … the period from January 2004 to June 2014. In out‐of‐sample forecasting of monthly returns on exchange rates, our findings …
Persistent link: https://www.econbiz.de/10012904104
We examine rationality, forecasting accuracy, and economic value of the survey-based exchange rate forecasts for 10 …
Persistent link: https://www.econbiz.de/10012903718
as a pseudo real time forecasting exercise, i.e. due account is taken of the pattern of available monthly variables over …
Persistent link: https://www.econbiz.de/10011605021
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010257225
Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …
Persistent link: https://www.econbiz.de/10011717605
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012119825
paper provides evidence that there is still potential for improvement in forecasting techniques both for nowcasts but also …
Persistent link: https://www.econbiz.de/10015078241