Showing 1 - 10 of 10,084
This study develops a framework to forecast India's gross domestic product growth on a quarterly frequency from 2004 to 2018. The models, which are based on real and monetary sector descriptions of the Indian economy, are estimated using Bayesian vector autoregression (BVAR) techniques. The real...
Persistent link: https://www.econbiz.de/10011984158
Lagged GNP growth rates are poor forecasts of future GNP growth rates in postwar US data, leading to the impression that GNP is nearly a random walk. However, other variables, and especially the lagged consumption/GNP ratio, do forecast long-horizon GNP growth, and show that GNP has temporary...
Persistent link: https://www.econbiz.de/10012475603
This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...
Persistent link: https://www.econbiz.de/10011669132
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...
Persistent link: https://www.econbiz.de/10013147524
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
The world economy has been struck by Covid-19 the same way people are struck by a lightning, fast and without warning, leaving nations out to dry on little to no reserves on their crucial supply side. Consequently, over the past year, economies shrunk, production drastically diminished, and...
Persistent link: https://www.econbiz.de/10013225881
Macroeconomic data are subject to revision over time as later vintages are released, yet the usual way of generating real-time out-of-sample forecasts from models effectively makes no allowance for this form of data uncertainty. We analyse a simple method which has been used in the context of...
Persistent link: https://www.econbiz.de/10012951549
We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer...
Persistent link: https://www.econbiz.de/10012892535
Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...
Persistent link: https://www.econbiz.de/10010229863
This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both quarterly and daily frequencies while remaining parsimonious....
Persistent link: https://www.econbiz.de/10011729120