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Comparison of simple sum and Divisia monetary aggregates in GDP forecasting: a support vector machines approach
Gogas, Periklis; Papadimitriou, Theophilos; Takli, Elvira - In: Economics Bulletin 33 (2013) 2, pp. 1101-1115
In this study we compare the forecasting ability of the simple sum and Divisia monetary aggregates with respect to U ….S. gross domestic product. We use two alternative Divisia aggregates, the series produced by the Center for Financial Stability … (CFS Divisia) and the ones produced by the Federal Reserve Bank of St. Louis (MSI Divisia). The empirical analysis is done …
Persistent link: https://www.econbiz.de/10010642987
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If monetary aggregates, then divisia
Srinivasan, Naveen; Arora, Parush - 2020
Persistent link: https://www.econbiz.de/10013470976
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Quantiles of growth: Household debt and growth vulnerabilities in Finland
Nyholm, Juho; Voutilainen, Ville - 2021
We analyze the relationship of the distribution of future GDP growth and accumulation of household debt in Finnish macroeconomic data from 1980 to 2019. We find clear evidence that exuberant accumulation of household debt is related to the thickening of the left tail of the future growth...
Persistent link: https://www.econbiz.de/10012544025
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Quantiles of growth : household debt and growth vulnerabilities in Finland
Nyholm, Juho; Voutilainen, Ville - 2021
We analyze the relationship of the distribution of future GDP growth and accumulation of household debt in Finnish macroeconomic data from 1980 to 2019. We find clear evidence that exuberant accumulation of household debt is related to the thickening of the left tail of the future growth...
Persistent link: https://www.econbiz.de/10012521030
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The n-dimensional Bailey–Divisia measure as a general-equilibrium measure of the welfare costs of inflation
Cysne, Rubens Penha - In: Economics Letters 113 (2011) 2, pp. 99-102
This paper shows that in economies with several monies the Bailey–Divisia multidimensional consumers’ surplus formula …
Persistent link: https://www.econbiz.de/10010576436
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Are daily financial data useful for forecasting GDP? Evidence from Mexico
Gomez-Zamudio, Luis M.; Ibarra-Ramírez, Raúl - 2017
This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both quarterly and daily frequencies while remaining parsimonious....
Persistent link: https://www.econbiz.de/10011788964
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Are daily financial data useful for forecasting GDP? : evidence from Mexico
Gomez-Zamudio, Luis M.; Ibarra-Ramírez, Raúl - 2017
This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both quarterly and daily frequencies while remaining parsimonious....
Persistent link: https://www.econbiz.de/10011729120
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Generating short-term forecasts of the Lithuanian GDP using factor models
Stakenas, Julius - Lietuvos Bankas - 2012
This paper focuses on short-term Lithuanian GDP forecasting using a large monthly dataset. The forecasting accuracy of various factor model specifications is assessed using the out-of-sample forecasting exercise. It is argued that factor extraction by using a simple principal components method...
Persistent link: https://www.econbiz.de/10010908012
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Forecasting GDP over the business cycle in a multi-frequency and data-rich environment
Bouabdallah, Othman; Bessec, Marie - Université Paris-Dauphine (Paris IX) - 2015
This paper merges two specifications recently developed in the forecasting literature: the MS-MIDAS model (Guérin and Marcellino, 2013) and the factor-MIDAS model (Marcellino and Schumacher, 2010). The MS-factor MIDAS model that we introduce incorporates the information provided by a large data...
Persistent link: https://www.econbiz.de/10011273978
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Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators
Arnostova, Katerina; Havrlant, David; Rùžièka, Luboš; … - In: Czech Journal of Economics and Finance (Finance a uver) 61 (2011) 6, pp. 566-583
The authors evaluate the out-of-sample forecasting performance of six competing models at horizons of up to three quarters ahead in a pseudo-real time setup. All the models use information in monthly indicators released ahead of quarterly GDP. The authors estimate two models – averaged vector...
Persistent link: https://www.econbiz.de/10009645286