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GDP Growth Predictions Through the Yield Spread. Time-Variation and Structural Breaks
De Pace, Pierangelo - 2011
We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010. We evaluate the predictive performance of benchmark term-structure...
Persistent link: https://www.econbiz.de/10013134715
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Nowcasting Spanish GDP Growth in Real Time : 'One and a Half Months Earlier'
de Antonio Liedo, David - 2010
The sharp decline in economic activity registered in Spain over 2008 and 2009 has no precedents in recent history. After ten prosperous years with an average GDP growth of 3.7%, the current recession places non-judgemental forecasting models under stress. This paper evaluates the Spanish GDP...
Persistent link: https://www.econbiz.de/10013135034
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Forecasting GDP Growth Rates Using Google Trends in the United States and Brazil
Bantis, Evripidis; Clements, Michael P.; Urquhart, Andrew - 2021
In this paper we consider the value of Google Trends search data for nowcasting (and forecasting) GDP growth for a developed (U.S.) and emerging-market economy (Brazil). Our focus is on the marginal contribution of "Big Data" in the form of Google Trends data over and above that of traditional...
Persistent link: https://www.econbiz.de/10013222547
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A dynamic factor model for nowcasting Canadian GDP growth
Chernis, Tony; Sekkel, Rodrigo - 2017
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. The model is then used to generate nowcasts, predictions of the recent past and...
Persistent link: https://www.econbiz.de/10011592353
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Probabilistic Forecasting of Output Growth, Inflation and the Balance of Trade in a GVAR Framework
Greenwood-Nimmo, Matthew - 2012
We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances …-term inflation target, and the incidence of recession and slow growth. The forecasting performance of the GVAR model in relation to …
Persistent link: https://www.econbiz.de/10013108763
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Predictive Performance of Mixed-Frequency Nowcasting and Forecasting Models (with Application to Philippine Inflation and GDP Growth)
Mariano, Roberto S.; Ozmucur, Suleyman - 2020
nowcasting Philippine inflation, real GDP growth, and other related macroeconomic variables. It focuses on variations of mixed …
Persistent link: https://www.econbiz.de/10014094788
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Inflation and Output Growth Uncertainty in Individual Survey Expectations
Paloviita, Maritta - 2014
This paper studies uncertainty using the ECB Survey of Professional Forecasters' data. We consider both inflation and … are based on subjective probability distributions of survey respondents. Our analysis indicates that individual inflation … inflation uncertainty has a negative impact on economic activity by decreasing output growth and increasing inflation and …
Persistent link: https://www.econbiz.de/10013064553
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Reliable real-time output gap estimates based on a modified Hamilton filter
Quast, Josefine; Wolters, Maik H. - 2020
estimated trend. Based on output growth and inflation forecasts and a comparison to revised output gap estimates from policy …
Persistent link: https://www.econbiz.de/10012233667
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Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set
Rossi, Barbara - 2013
We evaluate conditional predictive densities for U.S. output growth and inflation using a number of commonly used … when predicting inflation …
Persistent link: https://www.econbiz.de/10013089933
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A Bayesian Analysis of the Efficiency of Growth and Inflation Forecasts for Germany
Behrens, Christoph; Pierdzioch, Christian; Risse, Marian - In: SSRN eLibrary (2018)
We use Bayesian additive regression trees to reexamine the efficiency of growth and inflation forecasts for Germany. To …-term growth and longer-term inflation forecasts. We cannot reject weak efficiency of short-term growth and inflation forecasts. We …
Persistent link: https://www.econbiz.de/10012822387