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Persistent link: https://www.econbiz.de/10008892136
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We assess to what extent indicators of financial conditions can be considered relevant determinants and predictors of macroeconomic aggregates. The main finding is that controlling for default risk and risk aversion measures improves the forecasts of output, employment and loans, but that this...
Persistent link: https://www.econbiz.de/10012954903
This paper aims at providing a primer on the use of big data in macroeconomic nowcasting and early estimation. We discuss: (i) a typology of big data characteristics relevant for macroeconomic nowcasting and early estimates, (ii) methods for features extraction from unstructured big data to...
Persistent link: https://www.econbiz.de/10012915621
Different definitions of sustainability and of the empirical counterparts of the variables involved are reviewed in the paper by Michael Artis and Massimiliano Marcellino. They apply retrospective tests for fiscal sustainability along the lines of the paper by Fernandez and de Cos to EU...
Persistent link: https://www.econbiz.de/10013065823
This paper analyses the forecasting ability of economic summary indicators in EU economies. We employ the use of Partial Least Squares and Bayesian Shrinkage Regression methods and we predict the growth rates of quarterly GDP and Consumption and monthly Industrial Production. We find evidence...
Persistent link: https://www.econbiz.de/10013053177
This paper is concerned with the forecasting performance of variable reduction and variable selection methods using medium and large datasets. The variable reduction methods include Principal Components, Partial Least Squares and Bayesian Shrinkage Regression. The variable selection methods...
Persistent link: https://www.econbiz.de/10013053178
We consider forecasting key macroeconomic variables using many predictors extracted from the Eurostat PEEIs dataset. To avoid the curse of dimensionality, we rely on model selection and model reduction. For model selection we use heuristic optimisation of information criteria, including...
Persistent link: https://www.econbiz.de/10013053180
This paper investigates the performance of Financial Condition Indexes (FCIs) in forecasting four key macroeconomic variables of EU economies. A wide range of carefully selected financial indicators include Rates and Spreads, Stock Market Indicators and Macroeconomic Quantities. The results...
Persistent link: https://www.econbiz.de/10013053181
This paper investigates the estimation of turning points in the business cycles of six major EU economies and the EA. The core dating algorithm as implemented by King and Plosser (1994) is used here and it sheds some more light in the recent financial crisis. We are particularly concerned with...
Persistent link: https://www.econbiz.de/10013053182