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Sources of deterioration in forecast accuracy during the global financial crisis

Tsuchiya, Yoichi - 2021

This study assesses World Bank (WB) forecasts for growth in real gross domestic product (GDP) and its subcomponents … deterioration in the WB’s forecast accuracy of real GDP growth during the Great Recession in the aftermath of the financial crisis … private consumption plays a major role in explaining forecast error and upward bias of real GDP growth, while public …

Persistent link: https://www.econbiz.de/10013237854

DSGE forecasts of the lost recovery

Cai, Michael; Del Negro, Marco; Giannoni, Marc Paolo; … - 2018

The years following the Great Recession were challenging for forecasters. Unlike other deep downturns, this recession was not followed by a swift recovery, but generated a sizable and persistent output gap that was not accompanied by deflation as a traditional Phillips curve relationship would...

Persistent link: https://www.econbiz.de/10011806275

Forecasting in a Changing World : from the Great Recession to the COVID-19 Pandemic

Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021

that the forecast accuracy during the Great Recession can be significantly improved by giving greater weight to …

Persistent link: https://www.econbiz.de/10013250990

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the …

Persistent link: https://www.econbiz.de/10011313235

Investor Protection, Aggregate Accounting Earnings and Forecasts of Growth in GDP : International Evidence

Fargher, Neil L. - 2020

This study draws on the investor protection literature to examine differences in a country's information environment that are likely to explain cross country variation in the extent to which macroeconomic forecasters take account of current earnings when forecasting future growth in GDP. Using a...

Persistent link: https://www.econbiz.de/10012828194

Regime-dependent commodity price dynamics : a predictive analysis

Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava - 2021

We develop an econometric modelling framework to forecast commodity prices taking into account potentially different … dynamics and linkages existing at different states of the world and using different performance measures to validate the …

Persistent link: https://www.econbiz.de/10012415910

Some cross-country evidence on information rigidity in inflation forecasts

Miah, Fazlul; Al-Titi, Omar; Wane, Abdoul - In: Cogent economics & finance 11 (2023) 1, pp. 1-22

gathering picking up during the recession period. We also find that forecast revisions depend on both own country and cross …-country lagged revisions. Therefore, one source of information rigidity is not to incorporate overseas events in forecast revisions …

Persistent link: https://www.econbiz.de/10014500886