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Shock Identification of Macroeconomic Forecasts based on Daily Panels

Amstad, Marlene; Fischer, Andreas - 2005

-sectional information facilitates the interpretation of the forecast innovations as real or as nominal information shocks. An empirical …

Persistent link: https://www.econbiz.de/10011430057

Can Parameter Instability Explain the Meese-Rogoff Puzzle?

Bacchetta, Philippe; van Wincoop, Eric; Beutler, Toni - 2009

The empirical literature on nominal exchange rates shows that the current exchange rate is often a better predictor of future exchange rates than a linear combination of macroeconomic fundamentals. This result is behind the famous Meese-Rogoff puzzle. In this paper we evaluate whether parameter...

Persistent link: https://www.econbiz.de/10011430073

Monetary Policy in a Small Open Economy Model: A DSGE-VAR Approach for Switzerland

Bäurle, Gregor; Menz, Tobias - 2008

We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...

Persistent link: https://www.econbiz.de/10011430077

Two exercises of inflation modelling and forecasting for Azerbaijan

Chubrik, Alexander; Hajiyeva, Gulnar; Woźniak, Przemysław - 2012

The paper proposes two econometric models of inflation for Azerbaijan: one based on monthly data and eclectic, another based on quarterly data and takes into account disequilibrium at the money market. Inflation regression based on monthly data showed that consumer prices dynamics is explained...

Persistent link: https://www.econbiz.de/10011430889

Does Complexity Matter? Methods for Improving Forecasting Accuracy in Tourism

Smeral, Egon; Wüger, Michael - 2004

Tourist demand is subject to considerable variations, a fact which aggravates the development of forecast models of … approaches in an attempt to improve the quality of the forecast. Results showed that for the data set used, a combination of … complex data adjustment procedures and adequat model structures substantially improved the accuracy of the forecast or simple …

Persistent link: https://www.econbiz.de/10011435144

WIFO-Macromod. An Econometric Model of the Austrian Economy

Baumgartner, Josef; Breuss, Fritz; Kaniovski, Serguei - 2004

Persistent link: https://www.econbiz.de/10011435161

A Decomposition of Austria's General Government Budget into Structural and Cyclical Components

Kaniovski, Serguei; Pitlik, Hans; Steindl, Sandra; Url, … - 2008

the structural budget deficit. Until now, such decomposition has not been part of the regular WIFO forecast. …

Persistent link: https://www.econbiz.de/10011435231

Tourism Forecasting: Accuracy of Alternative Econometric Models Revisited

Song, Haiyan; Smeral, Egon; Li, Gang; Chen, Jason L. - 2008

This study evaluates the forecasting accuracy of five alternative econometric models in the context of predicting the quarterly international tourism demand in 25 countries or country groupings. Tourism demand is measured in terms of tourist expenditure by inbound international visitors in a...

Persistent link: https://www.econbiz.de/10011435264

Can the Inclusion of Calendar and Temperature Effects Improve Nowcasts and Forecasts of Construction Sector Output Based on Business Surveys?

Scheiblecker, Marcus - 2010

For nowcasting and short-term forecasting of industrial production and GDP, business surveys are a vital source of information. They cover information of the recent past as well as developments in the near future. Whereas variations in industrial production indices potentially cover weather...

Persistent link: https://www.econbiz.de/10011435287

On the Design of Data Sets for Forecasting with Dynamic Factor Models

Rünstler, Gerhard - 2010

. The paper proposes to use forecast weights as provided by the factor model itself for this purpose. Monte Carlo … suggest that both forecast weights and least angle regressions result in improved forecasts. Overall, forecast weights provide …

Persistent link: https://www.econbiz.de/10011435303