E37

Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

Evaluating forecasts of a vector of variables: a German forecasting competition

JEL codes: 
C53, E27, E37
Version Date: 
Jul 2014
Author/s: 
Abstract: 

In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years.

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Forecasting and signal extraction with regularised multivariate direct filter approach

JEL codes: 
C13, C32, E32, E37
Version Date: 
Dec 2012
Author/s: 
Abstract: 

The paper studies regularised direct filter approach as a tool for high-dimensional filtering and real-time signal extraction. It is shown that the regularised filter is able to process high-dimensional data sets by controlling for effective degrees of freedom and that it is computationally fast.

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A New Real-Time Indicator for the Euro Area GDP

JEL codes: 
C13, C32, E32, E37
Version Date: 
Jul 2012
Author/s: 
Abstract: 

The paper proposes a new real-time unrevised indicator tracking medium-to-long-term component in the quarterly growth of the euro area GDP. The new indicator is based on recently developed real-time filtration methodology, the multivariate direct filter approach, applied to selected business and consumer survey and share price data.

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Asynchronous Business Cycles in the E.U.: the Effect of the Common Currency

JEL codes: 
E32, E37, E40
Version Date: 
May 2010
Author/s: 
Abstract: 

The purpose of this paper is to examine the effectiveness of the policies and procedures towards economic convergence between the countries that participated in the European Exchange Mechanism I and which are now members states of the Eurozone.

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Institutions and Business Cycles

JEL codes: 
C32, E32, E37
Version Date: 
Dec 2012
Author/s: 
Abstract: 

This paper investigates the relationship between the main features of business cycles and the institutional and structural characteristics of countries of up to 62 industrial, emerging and formerly centrally planned economies from all continents. We derive the business cycle characteristics using the nonparametric Harding-Pagan approach.

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Business Cycles around the Globe: A Regime-switching Approach

JEL codes: 
C32, E32, E37
Version Date: 
Jul 2010
Author/s: 
Abstract: 

This paper characterizes business cycle phenomena in a sample of 27 developed and developing economies using a univariate Markov regime switching approach. It examines the efficacy of this approach for detecting business cycle turning points and for identifying distinct economic regimes for each country in question.

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Measuring Output Gap Uncertainty

JEL codes: 
C32, C53, E37
Version Date: 
Mar 2010
Abstract: 

We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap.

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GDP Growth Predictions through the Yield Spread. Time-Variation and Structural Breaks

JEL codes: 
C22, C32, C53, E37, E43, E47
Version Date: 
Feb 2011
Author/s: 
Abstract: 

We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010.

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Where Are We Now? Real-Time Estimates of the Macro Economy

JEL codes: 
C32, E37
Version Date: 
Sep 2005
Author/s: 
Abstract: 

This paper describes a method for calculating daily real-time estimates of the current state of the US economy. The estimates are computed from data on scheduled US macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data.

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Real-Time Model Uncertainty in the United States: the Fed from 1996-2003

JEL codes: 
C50, C60, E37, E50
Version Date: 
Sep 2005
Abstract: 

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model’s inception in July 1996 until November 2003.

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