Showing 71 - 80 of 1,042
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10010420834
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undeter-mined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...
Persistent link: https://www.econbiz.de/10010435799
In this paper we present a methodology which can help to improve the assessment of the current economic situation. We propose an approach which combines multivariate single equations to forecast the monthly growth rate of industrial production with a density forecast. This allows to estimate the...
Persistent link: https://www.econbiz.de/10010460518
This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to forecast industrial production for Germany and the US. We focus on single-indicator models and various weighting schemes and evaluate the forecasting performance using a...
Persistent link: https://www.econbiz.de/10010527626
We investigate the information content of business tendency surveys for key macroeconomic variables in Switzerland. To summarise the information of a large data set of sectoral business tendency surveys we extract a small number of common factors by a principal components estimator. The...
Persistent link: https://www.econbiz.de/10011307784
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different sectors - industry, services, construction, and agriculture - across the four largest euro area economies - Germany, France, Italy and Spain - and the euro area as a whole. By...
Persistent link: https://www.econbiz.de/10011310799
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call dynamic pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE) models, with and without financial frictions, for output...
Persistent link: https://www.econbiz.de/10011340986
This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...
Persistent link: https://www.econbiz.de/10011776815
We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA model; 2) AR model estimated by the Kalman filter; 3) model that explains Macedonian GDP as a function of the foreign demand; 4) small structural model that links GDP components...
Persistent link: https://www.econbiz.de/10011785343
The primary goal of this paper is to describe several models that are currently used at the National Bank of the Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models (aggregated and disaggregated approach), three equation...
Persistent link: https://www.econbiz.de/10011785369