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The accuracy of a forecast targeting central bank
Skrove Falch, Nina; Nymoen, Ragnar - In: Economics: The Open-Access, Open-Assessment E-Journal 5 (2011) 2011-15, pp. 1-36
This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...
Persistent link: https://www.econbiz.de/10010306877
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Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte
Kholodilin, Konstantin A.; Kooths, Stefan - In: DIW Wochenbericht 76 (2009) 21, pp. 348-354
Die aktuelle Wirtschaftskrise wirft die Frage auf, ob nicht durch eine bessere Ausschöpfung der in den verschiedenen Frühindikatoren enthaltenen Informationen die aufgetretenen Prognosefehler hätten vermieden werden können. Dies gilt insbesondere vor dem Hintergrund des überraschend...
Persistent link: https://www.econbiz.de/10011602002
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Geldpolitik und Vermögensmärkte
Dreger, Christian; Wolters, Jürgen - In: Vierteljahrshefte zur Wirtschaftsforschung 78 (2009) 1, pp. 56-65
. Andererseits wäre im Fall steigender Vermögenspreise eine restriktivere Geldpolitik erforderlich, die die Dynamik von Produktion … die USA, den Euroraum, Japan und Großbritannien spezifiziert. Während die Geldpolitik keinen Einfluss auf die Entwicklung … eine restriktivere Geldpolitik bei nicht fundamental begründeten Preissteigerungen tatsächlich dämpfend auf die Entwicklung …
Persistent link: https://www.econbiz.de/10010377866
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Forecasting the unemployment rate using the degree of agreement in consumer unemployment expectations
Claveria, Oscar - In: Journal for Labour Market Research 53 (2019) 3, pp. 1-10
This study aims to refine unemployment forecasts by incorporating the degree of consensus in consumers' expectations. With this objective, we first model the unemployment rate in eight European countries using the step-wise algorithm proposed by Hyndman and Khandakar (J Stat Softw 27(3):1-22,...
Persistent link: https://www.econbiz.de/10012208423
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Faysal - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-25
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10011559137
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Employing Machine Learning Algorithms to build Trading Strategies with higher than Risk-Free Returns
Uzunlu, Baris Yalin; Hussain, Syed Muzammil - In: International Econometric Review (IER) 12 (2020) 2, pp. 112-138
This research aims at exploring whether simple trading strategies developed using state-ofthe-art Machine Learning (ML) algorithms can guarantee more than the risk-free rate of return or not. For this purpose, the direction of S&P 500 Index returns on every 6th day (SPYRETDIR6) and magnitude of...
Persistent link: https://www.econbiz.de/10012610982
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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic Journal of Economics 21 (2021) 2, pp. 184-204
This paper builds a short-term inflation projections (STIP) model for Latvia. The model is designed to forecast highly disaggregated consumer prices using cointegrated ARDL approach of [Pesaran, M., & Shin, Y. (1998). An Autoregressive Distributed Lag Modelling Approach to Cointegration...
Persistent link: https://www.econbiz.de/10013470760
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Forecasting Spanish unemployment with Google Trends and dimension reduction techniques
Mulero, Rodrigo; Garcia-Hiernaux, Alfredo - In: SERIEs - Journal of the Spanish Economic Association 12 (2021) 3, pp. 329-349
This paper presents a method to improve the one-step-ahead forecasts of the Spanish unemployment monthly series. To do so, we use numerous potential explanatory variables extracted from searches in Google (GoogleTrends tool).Two different dimension reduction techniques are implemented (PCA and...
Persistent link: https://www.econbiz.de/10014496096
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A machine learning approach to univariate time series forecasting of quarterly earnings
Fischer, Jan Alexander; Pohl, Philipp; Ratz, Dietmar - In: Review of Quantitative Finance and Accounting 55 (2020) 4, pp. 1163-1179
We propose our quarterly earnings prediction (QEPSVR) model, which is based on epsilon support vector regression (ε-SVR), as a new univariate model for quarterly earnings forecasting. This follows the recommendations of Lorek (Adv Account 30:315–321, 2014....
Persistent link: https://www.econbiz.de/10014504255
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Uncertainty measures from partially rounded probabilistic forecast surveys
Glas, Alexander; Hartmann, Matthias - In: Quantitative Economics 13 (2022) 3, pp. 979-1022
Although survey-based point predictions have been found to outperform successful forecasting models, corresponding variance forecasts are frequently diagnosed as heavily distorted. Professional forecasters who report inconspicuously low ex ante variances often produce squared forecast errors...
Persistent link: https://www.econbiz.de/10014536922