ERN: Forecasting & Simulation (Production) (Topic)最新文献

Uncertainty, Heterogeneous Beliefs, and Business Cycles: Macro and Micro Evidence 不确定性、异质信念和商业周期:宏观和微观证据

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2016-12-10 DOI: 10.2139/ssrn.2885163

Calvin Dun Jia

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引用次数: 1

Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model 基于动态因子模型的俄罗斯GDP临近预测与短期预测

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2015-05-28 DOI: 10.2139/ssrn.2616248

Alexey Porshakov, Elena Deryugina, A. Ponomarenko, A. Sinyakov

{"title":"Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model","authors":"Alexey Porshakov, Elena Deryugina, A. Ponomarenko, A. Sinyakov","doi":"10.2139/ssrn.2616248","DOIUrl":"https://doi.org/10.2139/ssrn.2616248","url":null,"abstract":"Real-time assessment of quarterly GDP growth rates is crucial for evaluation of economy’s current perspectives given the fact that respective data is normally subject to substantial publication delays by national statistical agencies. Large information sets of real-time indicators which could be used to approximate GDP growth rates in the quarter of interest are in practice characterized by unbalanced data, mixed frequencies, systematic data revisions, as well as a more general curse of dimensionality problem. The latter issues could, however, be practically resolved by means of dynamic factor modeling that has recently been recognized as a helpful tool to evaluate current economic conditions by means of higher frequency indicators. Our major results show that the performance of dynamic factor models in predicting Russian GDP dynamics appears to be superior as compared to other common alternative specifications. At the same time, we empirically show that the arrival of new data seems to consistently improve DFM’s predictive accuracy throughout sequential nowcast vintages. We also introduce the analysis of nowcast evolution resulting from the gradual expansion of the dataset of explanatory variables, as well as the framework for estimating contributions of different blocks of predictors into now-casts of Russian GDP.","PeriodicalId":291338,"journal":{"name":"ERN: Forecasting & Simulation (Production) (Topic)","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123221414","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 34

Are Individual Survey Expectations Internally Consistent? 个人调查期望内部一致吗?

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2013-01-01 DOI: 10.2139/ssrn.2213716

Maritta Paloviita, M. Virén

{"title":"Are Individual Survey Expectations Internally Consistent?","authors":"Maritta Paloviita, M. Virén","doi":"10.2139/ssrn.2213716","DOIUrl":"https://doi.org/10.2139/ssrn.2213716","url":null,"abstract":"This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also investigated. We examine internal consistency of individual inflation and real GDP growth forecasts by estimating alternative specifications of the Phillips curve on a micro level. We also explore forecast uncertainty using two alternative measures, i.e. conventional standard deviation of individual point forecasts and the median values of individual forecasters’ uncertainty based on subjective probability distributions of survey respondents. Our analysis indicates that individual forecasters deviate systematically from each other. Moreover, inflation uncertainty is closely related to the output growth uncertainty. In forming expectations, individual forecasters seem to behave according to the hybrid specification of the New Keynesian Phillips curve. The results also indicate that inflation uncertainty has a negative impact on economic activity by increasing inflation and lowering the price sensitiveness of aggregate supply.","PeriodicalId":291338,"journal":{"name":"ERN: Forecasting & Simulation (Production) (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126923892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

A Directional Analysis of Japanese GDP Forecasts Made by Corporate Executives 日本企业高管对GDP预测的方向性分析

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2012-05-01 DOI: 10.2139/ssrn.2136554

Y. Tsuchiya

引用次数: 0

Is the Purchasing Managers’ Index Useful for Assessing the Economy’s Strength? A Directional Analysis 采购经理人指数对评估经济实力有用吗?方向性分析

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2011-12-07 DOI: 10.2139/ssrn.1766380

Y. Tsuchiya

引用次数: 20

Nowcasting GDP in Real-Time: A Density Combination Approach 实时临近预测GDP:密度组合方法

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2011-09-27 DOI: 10.2139/ssrn.1935860

K. Aastveit, Karsten R. Gerdrup, A. Jore, Leif Anders Thorsrud

引用次数: 7

Forecasting Macroeconomic Variables Using Disaggregate Survey Data 使用分类调查数据预测宏观经济变量

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2011-04-07 DOI: 10.2139/ssrn.1847595

Kjetil Martinsen, F. Ravazzolo, Fredrik Wulfsberg

引用次数: 61

What Does Ex-Post Evidence Tell Us About the Output Effects of Future Tax Reforms? 关于未来税制改革的产出效应，事后证据告诉我们什么?

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2011-04-01 DOI: 10.2139/ssrn.1810862

F. Misch, R. Kneller

引用次数: 11

On the Conditional Effects of IMF Program Participation on Output Growth 论参与IMF计划对产出增长的条件效应

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2010-08-31 DOI: 10.1016/J.JMACRO.2017.01.006

Michael Binder, Marcel Bluhm

引用次数: 65

The Proximity-Concentration Tradeoff Under Uncertainty 不确定条件下的接近-集中权衡

ERN: Forecasting & Simulation (Production) (Topic) Pub Date : 2010-05-06 DOI: 10.2139/ssrn.1635461

N. Ramondo, Kim J. Ruhl, V. Rappoport

引用次数: 74