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Evaluating point and density forecasts of DSGE models

Wolters, Maik H. - 2013

This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as...

Persistent link: https://www.econbiz.de/10009792175

Would DSGE models have predicted the Great Recession in Austria?

Breuss, Fritz - 2016

story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …

Persistent link: https://www.econbiz.de/10011561187

Disagreement among forecasters in G7 countries

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jirka - 2009

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/10010425866

Business tendency surveys and macroeconomic fluctuations

Kaufmann, Daniel; Scheufele, Rolf - 2015

encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …

Persistent link: https://www.econbiz.de/10010508347

Dynamic prediction pools : an investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

Persistent link: https://www.econbiz.de/10010414783

Evaluating point and density forecasts of DSGE models

Wolters, Maik H. - 2012

This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical US data vintages synchronized with the Fed's Greenbook...

Persistent link: https://www.econbiz.de/10010392192

Forecasting and policy making

Wieland, Volker; Wolters, Maik H. - 2012

Persistent link: https://www.econbiz.de/10010394237

Constructing daily economic sentiment indices based on Google Trends

Eichenauer, Vera; Indergand, Ronald; Martínez, Isabel; … - 2020

consistent daily economic indices for the (mainly) German-speaking countries Germany, Austria, and Switzerland. The resulting …

Persistent link: https://www.econbiz.de/10012239254

A daily fever curve for the Swiss economy

Burri, Marc; Kaufmann, Daniel - 2020

Because macroeconomic data is published with a substantial delay, assessing the health of the economy during the rapidly evolving Covid-19 crisis is challenging. We develop a fever curve for the Swiss economy using publicly available daily financial market and news data. The indicator can be...

Persistent link: https://www.econbiz.de/10012225774

Nowcasting with large Bayesian vector autoregressions

Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...

Persistent link: https://www.econbiz.de/10012259379