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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/10012422115

Nowcasting euro area GDP with news sentiment: A tale of two crises

Ashwin, Julian; Kalamara, Eleni; Saiz, Lorena - 2021

This paper shows that newspaper articles contain timely economic signals that can materially improve nowcasts of real GDP growth for the euro area. Our text data is drawn from fifteen popular European newspapers, that collectively represent the four largest Euro area economies, and are machine...

Persistent link: https://www.econbiz.de/10012819030

The Chicago Fed DSGE model: Version 2

Campbell, Jeffrey R.; Ferroni, Filippo; Fisher, Jonas D. M. - 2023

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …

Persistent link: https://www.econbiz.de/10014480569

Identifying business cycle turning points in real time

Chauvet, Marcelle; Piger, Jeremy - 2002

This paper evaluates the ability of a statistical regime-switching model to identify turning points in U.S. economic activity in real time. The authors work with Markov-switching models of real GDP and employment that, when estimated on the entire post-war sample, provide a chronology of...

Persistent link: https://www.econbiz.de/10010397625

Econometric studies of business cycles in the history of econometrics

Qin, Duo - 2010

This study examines the evolution of econometric research in business cycle analysis during the 1960-90 period. It shows how the research was dominated by an assimilation of the tradition of NBER business cycle analysis by the Haavelmo-Cowles Commission approach, catalysed by time-series...

Persistent link: https://www.econbiz.de/10010280775

Understanding low wage growth in the euro area and European countries

Nickel, Christiane (contributor); Bobeica, Elena (contributor) - 2019

Despite notable improvements in the labour market since 2013, wage growth in the euro area was subdued and substantially overpredicted in 2013-17. This paper summarises the findings of an ESCB expert group on the reasons for low wage growth and provides comparable analyses on wage developments...

Persistent link: https://www.econbiz.de/10012141429

Dynamic Factor Trees and Forests: A theory-led machine learning framework for non-linear and state-dependent short-term U.S. GDP growth predictions

Wochner, Daniel - 2020

Factor Forests (DFF) for macroeconomic forecasting, which synthesize the recent machine learning, dynamic factor model and … proposed in Zeileis, Hothorn and Hornik (2008). DFTs and DFFs are non-linear and state-dependent forecasting models, which … powerful tree-based machine learning ensembles conditional on the state of the business cycle. The out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10012546027

Forecasting and policy making

Wieland, Volker; Wolters, Maik H. - 2013

Persistent link: https://www.econbiz.de/10011506997

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

Strategic forecasting : the management perspective

Johannsen Duus, Henrik - In: Management research review 39 (2016) 9, pp. 998-1015

Persistent link: https://www.econbiz.de/10011564346