shrinkage methods, following Stock and Watson (2012) and Kim and Swanson (2013a), to forecast CPI inflation, GDP growth, exports … clearer as the forecast horizons lengthens. Specifically, in forecasting for more volatile periods like the global financial …

Financial data often contain information that is helpful for macroeconomic forecasting, while multistep forecast … that the average of the available daily data and a daily random walk forecast to fill in the missing days in the quarter … the inclusion of financial variable nowcasts by themselves generally improves forecast accuracy for macroeconomic …

Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA … informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for … improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of …

environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …