In this paper we propose a new indicator of monthly global real economic activity, named world steel production. We use world steel production, OECD industrial production index and Kilian's rea index to forecast world real GDP, and key commodity prices. We find that world steel production...

This article describes a machine learning based approach applied to acquiring empirical forecasting models. The approach makes use of the LAGRAMGE equation discovery tool to define a potentially very wide range of equations to be considered for the model. Importantly, the equations can vary in...

Non-fundamentalness arises when observed variables do not contain enough information to recover structural shocks. This paper propose a new test to empirically detect non-fundamentalness, which is robust to the conditional heteroskedasticity of unknown form, does not need information outside of...

This study was carried out to estimate underlying inflation in Nigeria using Unobserved Component (UC) model. Also, different channels were used to identify the source of inflation persistence and volatility. This was estimated using Bayesian analysis in order to examine the role of priors in...

This paper presents applications of our theory to description of particular economic problems. We give all definitions and equations in Part I and II of our work. Here we argue propagation of small perturbations of economic variables and transactions on economic space. We show that small...

This paper presents further development of our economic model (see Part I). We describe economic and financial transactions between agents as factors that define evolution of economic variables. We show that change of risk ratings of agents as their coordinates on economic space due to their...

The global financial crisis (2008-09) led to a sharp contraction in both Euro Area (EA) and US real activity, and was followed by a long-lasting slump. However, the post-crisis adjustment in the EA and the US shows striking differences—in particular, the EA slump has been markedly more...

We estimate a medium-scale DSGE model, including a financial accelerator and the search and matching framework in labor markets, for the Korean economy, using the Bayesian technique. The estimated model shows that the recent sluggishness in GDP growth can be explained by slow technology growth,...

In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...

Building on De Nicolò and Lucchetta (2010), this paper presents a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) reduced-form stress tests...