The crisis periods of the past decades have highlighted the difficulty of forecasting economic indicators due to increased non-linearity and rapidly changing dynamics. To address this challenge, we introduce the Transform-Sparsify-Forecast (TSF) framework. The TSF framework first applies...

This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is obtained from a Bayesian mixed-frequency dynamic factor model...

We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...

Forecasting economic activity during an invasion is a nontrivial exercise. The lack of timely statistical data and the expected nonlinear effect of military action challenge the use of established nowcasting and shortterm forecasting methodologies. In a recent study (Constantinescu (2023b)), I...

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

To examine whether including economic data on other countries could improve the forecast of U.S. GDP growth, we construct a large data set of 77 countries representing over 90 percent of global GDP. Our benchmark model is a dynamic factor model using U.S. data only, which we extend to include...

We propose a long-term forecast model based on linear growth and mean reversion characteristics in the U.S. stock market. It can forecast future returns of the stock market, Treasury yield, and gold price. The “jubilee” name comes from its optimal trend-following window of 45 years. The...

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...

The formation of the European Union (EU) is the one of the biggest political – economic events of the last 50 years. The aim of this study is to develop EU economy functioning system dynamic model. Main research method is system dynamics. General scheme of EU economy system dynamic model is...