Showing 241 - 250 of 65,021
In this paper, we present an evolutionary model of industry dynamics yielding endogenous business cycles with 'Keynesian' features. The model describes an economy composed of firms and consumers/workers. Firms belong to two industries. The first one performs R&D and produces heterogeneous...
Persistent link: https://www.econbiz.de/10003209272
This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Specialists in Economics from the Private Sector, maintained by Banco de M´exico. The study concentrates on the mean across forecasters for the period from January 1995 to April...
Persistent link: https://www.econbiz.de/10003748770
Short-term inflation forecasting is an essential component of the monetary policy projections at the Central Bank of Nigeria. This paper proposes four short-term headline inflation forecasting models using the SARIMA and SARIMAX processes and compares their performance using the...
Persistent link: https://www.econbiz.de/10011488735
In a data-rich environment, forecasting economic variables amounts to extracting and organizing useful information out of a large number of predictors. So far dynamic factor model and its variants have been the most successful models for such exercises. In this paper, we investigate a category...
Persistent link: https://www.econbiz.de/10013056979
This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...
Persistent link: https://www.econbiz.de/10014068209
The political transition in the Arab Spring countries has been accompanied by a deterioration of economic and financial indicators like the Tunisian case. Therefore, this paper aims to get a deeper understanding the nature of the rule that reflects the behavior of the Tunisian monetary authority...
Persistent link: https://www.econbiz.de/10012840968
We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the...
Persistent link: https://www.econbiz.de/10012841168
Forward and futures rates are frequently used as measures of market expectations. In this paper we apply standard forecast efficiency tests, and some newer exact sign and rank tests, to a wide range of forward and futures rates, and in this way test whether these are in fact rational...
Persistent link: https://www.econbiz.de/10012714835
Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible parametric model that accommodates virtually any of these specifications - and does so in a simple way that allows for straightforward Bayesian...
Persistent link: https://www.econbiz.de/10012730175
We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip,...
Persistent link: https://www.econbiz.de/10012016753