Official Chinese GDP growth rates have been remarkably smooth over the past decade, in contrast with alternative Chinese economic data. To better identify Chinese business cycles, we construct a sparse partial least squares (PLS) factor from a wide array of Chinese higher-frequency data,...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Assessing the global economic outlook is a fundamentally important task of international financial institutions, governments and central banks. In this paper we focus on the consequences of the rapid growth of emerging markets for monitoring and forecasting the global outlook. Our main results...

The purpose of this study is to select the most accurate time series model for forecasting international tourist arrivals to Sri Lanka and generate short-term forecasts that add some benefits for policy makers and decision makers in both the public and private tourism sectors in Sri Lanka....

Evidence in favor of the monetary model of exchange rate determination for the South African Rand is, at best, mixed. A co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary model. With the econometric literature suggesting that...

Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including...

We present EconSentGPT, an economic sentiment prediction model based on a fine-tuned version of the recently-launched artificial intelligence language model, ChatGPT. To assess the model’s effectiveness, we analyze a sample of US economic news and a multi-language dataset of European Central...

This paper improves short-term forecasting models of monthly tourism arrivals by estimating and evaluating a time-series model with exogenous regressors (ARIMA-X) using a case of Aruba, a small open tourism-dependent economy. Given importance of the US market for Aruba, it investigates...

We evaluate the informational content of news-based sentiment indicators for forecasting the Gross Domestic Product (GDP) of the five major European economies. The sentiment indicators that we construct are aspect-based, in the sense that we consider only the text that is related to a specific...

This paper presents a generalized autoregressive distributed lag (GADL) model for conducting regression estimations that involve mixed-frequency data. As an example, we show that daily asset market information - currency and equity market movements - can produce forecasts of quarterly commodity...