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Forecasting aggregates with disaggregate variables : does boosting help to select the most informative predictors? ; conference paper

Zeng, Jing - 2014

Including disaggregate variables or using information extracted from the disaggregate variables into a forecasting … model for an eco- nomic aggregate may improve the forecasting accuracy. In this paper we suggest to use boosting as a method …-out-of-sample forecasting experiment for key Euro area macroeconomic variables is conducted. The results suggest that using boosting to select …

Persistent link: https://www.econbiz.de/10010482520

Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?

Berg, Tim Oliver; Henzel, Steffen - 2013

Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....

Persistent link: https://www.econbiz.de/10010342246

Are there bubbles in the sterling-dollar exchange rate? : new evidence from sequential ADF tests ; conference paper

Bettendorf, Timo; Chen, Wenjuan - 2013

There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. We find strong evidence of explosive behavior in the nominal Sterling-dollar...

Persistent link: https://www.econbiz.de/10010338391

The empirical (ir)relevance of the interest rate assumption for central bank forecasts : conference paper

Knüppel, Malte; Schultefrankenfeld, Guido - 2013

The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...

Persistent link: https://www.econbiz.de/10010337208

Household's disagreement on inflation expectations and socioeconomic media exposure in Germany

Menz, Jan-Oliver; Poppitz, Philipp - 2013

Inflation expectations are often found to depend on socioeconomic and demographic characteristics of households, such as age, income and education, however, the reasons for this systematic heterogeneity are not yet fully understood. Since accounting for these expectation differentials could help...

Persistent link: https://www.econbiz.de/10010338395

Does central bank staff beat private forecasters? : conference paper

Shagi, Makram el-; Giesen, Sebastian; Jung, Alexander - 2013

This paper assesses the relative performance of central bank staff forecasts and of private forecasters for inflation and output. We show that the Federal Reserve (Fed), and less so the European Central Bank (ECB), has a significant information advantage concerning inflation and output...

Persistent link: https://www.econbiz.de/10010339294

Markov switching with endogenous number of regimes and leading indicators in a real-time business cycle forecast : conference paper

Theobald, Thomas - 2013

This paper uses several macroeconomic and financial indicators within a Markov Switching (MS) framework to predict the turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession and the recovery after the financial crisis. We show...

Persistent link: https://www.econbiz.de/10010339952

Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

Persistent link: https://www.econbiz.de/10010341118

Evaluating the causal effects of Cash-for-Clunkers programs in selected countries : success or failure? ; conference paper

Heimeshoff, Ulrich; Müller, Andrea - 2013

This paper provides empirical evidence that Accelerated Vehicle Programs exhibit a positive influence on car registrations using unique aggregate monthly data for 23 OECD countries from 2000 to 2010. The effect is still traceable if dynamic panel data fixed effects methods are used to address...

Persistent link: https://www.econbiz.de/10010341639

Forecasting business-cycle turning points with (relatively large) linear systems in real time : conference paper

Schreiber, Sven - 2013 - This preliminary version: March 2013

The detection of business-cycle turning points is usually performed with non-linear discrete-regime models such as binary dependent variable (e.g., probit or logit) or Markov-switching methods. The probit model has the drawback that the continuous underlying target variable is discretized, with...

Persistent link: https://www.econbiz.de/10010344635