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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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Tracking economic activity with alternative high-frequency data
Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020
Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...
Persistent link: https://www.econbiz.de/10012395297
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Merging structural and reduced-form models for forecasting : opening the DSGE-VAR box
Martínez-Martín, Jaime; Morris, Richard; Onorante, Luca; … - 2019
The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit …-VAR and Augmented-(B)VARDSGE methods) and assess their use for forecasting the Spanish economy. Our empirical findings suggest … with (B)VAR methods does not give rise to any relevant gain in terms of forecasting accuracy. …
Persistent link: https://www.econbiz.de/10012132553
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Priors from DSGE models for dynamic factor analysis
Bäurle, Gregor - 2008
; DSGE Model ; Bayesian Analysis ; Forecasting ; Transmission of Shocks …
Persistent link: https://www.econbiz.de/10003923369
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010412361
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A large Bayesian VAR of the United States Economy
Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...
Persistent link: https://www.econbiz.de/10012613922
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How to estimate a VAR after March 2020
Lenza, Michele; Primiceri, Giorgio E. - 2020
. However, disregarding these recent data is inappropriate for forecasting the future evolution of the economy, because it …
Persistent link: https://www.econbiz.de/10012271529
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A high-frequency GDP indicator for Switzerland
Kronenberg, Philipp - 2024
This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is obtained from a Bayesian mixed-frequency dynamic factor model...
Persistent link: https://www.econbiz.de/10014562886
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RGAP: output gap estimation in R
Streicher, Sina - 2022
Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This paper presents the R package RGAP which...
Persistent link: https://www.econbiz.de/10013256541
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Monitoring multicountry macroeconomic risk
Korobilis, Dimitris; Schröder, Maximilian - 2023
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...
Persistent link: https://www.econbiz.de/10014314068