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The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy
Hogrefe, Jens - Institut für Volkswirtschaftslehre, … - 2007
The yield spread is a well documented leading indicator of GDP growth. Estrella (2005) proposes a model to explain this relationship. Within the model, the leading properties of the yield spread are determined by the monetary policy. Accordingly, changes of the leading properties that have been...
Persistent link: https://www.econbiz.de/10005082870
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Combination Schemes for Turning Point Predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Institute - 2011
deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …
Persistent link: https://www.econbiz.de/10009276031
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Combination schemes for turning point predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2012
deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …
Persistent link: https://www.econbiz.de/10010705530
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Combination schemes for turning point predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: The Quarterly Review of Economics and Finance 52 (2012) 4, pp. 402-412
schemes are based on the forecasting performances of a given set of models with the aim to provide better turning point …
Persistent link: https://www.econbiz.de/10010602931
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Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Instituut - 2013
Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes in low and high data frequencies and endogenous...
Persistent link: https://www.econbiz.de/10011256321
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Forecasting GDP over the business cycle in a multi-frequency and data-rich environment
Bouabdallah, Othman; Bessec, Marie - Université Paris-Dauphine (Paris IX) - 2015
This paper merges two specifications recently developed in the forecasting literature: the MS-MIDAS model (Guérin and …
Persistent link: https://www.econbiz.de/10011273978
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Interactions between Eurozone and US booms and busts : a Bayesian panel Markov-switching VAR model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2013
Persistent link: https://www.econbiz.de/10010191237
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Combinations schemes for turning points predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
Persistent link: https://www.econbiz.de/10009720757
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Interconnections between Eurozone and US booms and busts using a Bayesian Panel Markov-Switching VAR mode
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2015
Interconnections between Eurozone and United States booms and busts and among major Eurozone economies are analyzed using a Panel Markov-Switching VAR model. The model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of...
Persistent link: https://www.econbiz.de/10011335013
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Business cycle dating and forecasting with real-time Swiss GDP data
Glocker, Christian; Wegmüller, Philipp - 2017
proposed model demonstrates a remarkable performance in short-term and medium-term forecasting. Using real-time GDP data since …
Persistent link: https://www.econbiz.de/10011732586