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Dovern, Jonas; Huber, Florian - In: Economics letters 133 (2015), pp. 81-84

Persistent link: https://www.econbiz.de/10011431997

Does joint modelling of the world economy pay off? : evaluating global forecasts from a bayesian GVAR

Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015

We analyze how modeling international dependencies improves forecasts for the global economy based on a Bayesian GVAR … density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms … structure across countries, whereas the GVAR does not yield better predictive marginal densities. The relative performance gains …

Persistent link: https://www.econbiz.de/10010504660

Addressing COVID-19 outliers in BVARs with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022

The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...

Persistent link: https://www.econbiz.de/10013184356

Forecasting German key macroeconomic variables using large dataset methods

Pirschel, Inske; Wolters, Maik H. - 2014

We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that consists of 123 variables in quarterly frequency. These three approaches handle the dimensionality problem evoked by such a large dataset by aggregating information, yet on different...

Persistent link: https://www.econbiz.de/10010357899

Business Cycle Dating and Forecasting with Real-Time Swiss GDP Data

Glocker, Christian - 2019

We develop a small-scale dynamic factor model for the Swiss economy allowing for non-linearities by means of a two-state Markov-chain. The selection of an appropriate set of indicators utilizes a combinatorial algorithm. The model's forecasting performance is as good as that of peers with richer...

Persistent link: https://www.econbiz.de/10012892535

Identification and Real-Time Forecasting of Norwegian Business Cycles

Aastveit, Knut Are - 2015

We define and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching models and Markov-switching factor models. On the basis of a...

Persistent link: https://www.econbiz.de/10013021261

Forecasting euro area recessions in real-time

Pirschel, Inske - 2016

I present evidence that the linear mixed-frequency Bayesian VAR provides very sharp and well calibrated monthly real-time recession probabilities for the euro area for the period from 2004 until 2013. The model outperforms not only the univariate regime-switching models for a number of hard and...

Persistent link: https://www.econbiz.de/10011415289

Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

Persistent link: https://www.econbiz.de/10012154125

Forecasting German key macroeconomic variables using large dataset methods : conference paper

Pirschel, Inske; Wolters, Maik H. - 2014

We study the forecasting performance of three alternative large scale approaches for German key macroeconomic variables using a dataset that consists of 123 variables in quarterly frequency. These three approaches handle the dimensionality problem evoked by such a large dataset by aggregating...

Persistent link: https://www.econbiz.de/10010489849

Forecasting with Shadow-Rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2021

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear...

Persistent link: https://www.econbiz.de/10013235487

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