Showing 1 - 10 of 96
In this paper we investigate whether differences exist among forecasts using real-time or latest-available data to predict gross domestic product (GDP). We employ mixed-frequency models and real-time data to reassess the role of survey data relative to industrial production and orders in...
Persistent link: https://www.econbiz.de/10011595792
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/10011926762
Summary This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/ forecasts of GDP quarter-on-quarter growth rate in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the...
Persistent link: https://www.econbiz.de/10014609407
This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the factor model...
Persistent link: https://www.econbiz.de/10010274409
Persistent link: https://www.econbiz.de/10010403186
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
In this paper we investigate whether differences exist among forecasts using real-time or latest-available data to predict gross domestic product (GDP). We employ mixed-frequency models and real-time data to reassess the role of survey data relative to industrial production and orders in...
Persistent link: https://www.econbiz.de/10011595370
This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/ forecasts of GDP quarter-on-quarter growth rate in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the Swiss GDP. We find that the factor model...
Persistent link: https://www.econbiz.de/10010580967
Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious … model for nowcasting headline and core inflation in the U.S. price index for personal consumption expenditures (PCE) and the …’s nowcasting accuracy improves as information accumulates over the course of a month or quarter, and it easily outperforms a …
Persistent link: https://www.econbiz.de/10011114917
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