Journal of Forecasting最新文献

Policymaking in Periods of Structural Changes and Structural Breaks: Rolling Windows Revisited

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2025-02-25 DOI: 10.1002/for.3269

Nikolaos Giannellis, Stephen G. Hall, Georgios P. Kouretas, George S. Tavlas, Yongli Wang

引用次数: 0

Common Shocks and Climate Risk in European Equities

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2025-02-04 DOI: 10.1002/for.3256

Andrea Cipollini, Fabio Parla

引用次数: 0

Bank Capital Requirements, Lending Supply, and Economic Activity: A Scenario Analysis Perspective

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2025-01-06 DOI: 10.1002/for.3239

Antonio M. Conti, Andrea Nobili, Federico M. Signoretti

{"title":"Bank Capital Requirements, Lending Supply, and Economic Activity: A Scenario Analysis Perspective","authors":"Antonio M. Conti, Andrea Nobili, Federico M. Signoretti","doi":"10.1002/for.3239","DOIUrl":"https://doi.org/10.1002/for.3239","url":null,"abstract":"<div>\u0000 \u0000 <p>We evaluate the relation between bank capital, lending supply, and economic activity using Italian data over 1993–2015, a period which covers three key post-crisis regulatory and supervisory measures (the Basel III reform, the 2011 European Banking Authority [EBA] stress test, the European Central Bank's [ECB] Comprehensive Assessment, and launch of the Single Supervisory Mechanism—SSM). We quantify the impact of increased bank capital requirements using a novel procedure that recovers the magnitude of the policy measures, relying on scenario analysis and Bayesian VARs with a rich characterization of the banking sector. We document that the EBA and SSM measures unpredictably raised Tier 1 ratio by about 2.5 percentage points, leading to an average reduction in credit to firms and households by 5% and 4%, respectively, and to a decline in real GDP by over 2% and 4%. The Basel III bank capital increase is instead correctly anticipated in out-of-sample forecasting. These findings are robust to time-varying model parameters and consistent with narrative sign restriction techniques.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1132-1164"},"PeriodicalIF":3.4,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143564879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Snapshot of Central Bank (Two-Year) Forecasting: A Mixed Picture

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-30 DOI: 10.1002/for.3244

Charles A. E. Goodhart, Manoj Pradhan

{"title":"A Snapshot of Central Bank (Two-Year) Forecasting: A Mixed Picture","authors":"Charles A. E. Goodhart, Manoj Pradhan","doi":"10.1002/for.3244","DOIUrl":"https://doi.org/10.1002/for.3244","url":null,"abstract":"<div>\u0000 \u0000 <p>Between 2001 and 2023, Central Bank forecasts were patently inaccurate. In this paper, we argue that many of such forecast failings were already present during the earlier years of inflation targetry. Central Banks normally adjust monetary policy so that inflation hits the Inflation Target (IT) within two years. Since a central bank must believe its policy stance is appropriate to achieve this goal, its inflation forecast at the two-year horizon should generally be close to target. We examine whether this has held for three main Central Banks, Bank of England, ECB, and Fed. Although over the IT period prior to 2020, both forecasts and outcomes were commendably close to target, we found that this was due to a sizeable forecast <i>underestimate</i> of the effects of policy and inherent resilience to revive inflation after the GFC crisis hit, largely offset by an <i>overestimate</i> of the effect of monetary policy to restore inflation to target during the more normal times. We attribute such latter overestimation to an unwarranted belief in forward-looking, “well anchored”, expectations amongst households and firms, and to a failure to recognize the underlying disinflationary trends, especially in 2010–2019. We outline a novel means for assessing whether these latter trends were primarily demand driven, e.g. secular stagnation, or supply shocks, a labor supply surge. Finally, we examine how forecasts for the uncertainty of outcomes and relative risk (skew) to the central forecast have developed by examining the Bank of England's fan chart, again at the two-year horizon.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1097-1131"},"PeriodicalIF":3.4,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565297","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Money Matters: Broad Divisia Money and the Recovery of the US Nominal GDP From the COVID-19 Recession

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-24 DOI: 10.1002/for.3242

Michael D. Bordo, John V. Duca

{"title":"Money Matters: Broad Divisia Money and the Recovery of the US Nominal GDP From the COVID-19 Recession","authors":"Michael D. Bordo, John V. Duca","doi":"10.1002/for.3242","DOIUrl":"https://doi.org/10.1002/for.3242","url":null,"abstract":"<div>\u0000 \u0000 <p>The rise of inflation in 2021 and 2022 surprised many macroeconomists who ignored the earlier surge in money growth because of past instability in the demand for simple-sum monetary aggregates. We find that the demand for more theoretically based Divisia aggregates can be modeled and that these aggregates provide useful information about nominal GDP. Unlike M2 and Divisia-M2, whose velocities do not internalize shifts in liabilities across commercial and shadow banks, the velocities of broader Divisia monetary aggregates are stable and can be empirically modeled through the Covid-19 pandemic. In the long run, these velocities depend on regulation and mutual fund costs that affect the substitutability of money for other financial assets. In the short run, we control for swings in mortgage activity and use vaccination rates and the stringency of government pandemic restrictions to control for the unusual pandemic effects. The velocity of broad Divisia money declines during crises like the Great and COVID Recessions but later rebounds. In these recessions, monetary policy lowered short-term interest rates to zero and engaged in quantitative easing of about $4 trillion. Nevertheless, broad money growth was more robust in the COVID Recession, reflecting a less impaired banking system that promoted rather than hindered deposit creation. Our framework implies that nominal GDP growth and inflation rebounded more quickly from the COVID Recession versus the Great Recession. Our different scenarios for future Divisia money growth and the unwinding of the pandemic have different implications for medium-term nominal GDP growth and inflationary pressures.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1071-1096"},"PeriodicalIF":3.4,"publicationDate":"2024-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

On the Detection of Structural Breaks: The Case of the Covid Shock

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-09 DOI: 10.1002/for.3238

Stephen G. Hall, George S. Tavlas, Lorenzo Trapani, Yongli Wang

{"title":"On the Detection of Structural Breaks: The Case of the Covid Shock","authors":"Stephen G. Hall, George S. Tavlas, Lorenzo Trapani, Yongli Wang","doi":"10.1002/for.3238","DOIUrl":"https://doi.org/10.1002/for.3238","url":null,"abstract":"<div>\u0000 \u0000 <p>Both the Federal Reserve (Fed) and the European Central Bank (ECB) have been criticized for not having perceived that the outbreak of Covid at the beginning of 2020 would lead to a structural change in inflation in the early 2020s. Both central banks viewed the initial inflation surge in 2021 as temporary and delayed monetary tightening until 2022. We argue that the existing literature on structural breaks could not have been useful to policymakers because it identifies the breaks in an arbitrary way. The tests used to identify breaks do not incorporate prior knowledge that a break may have occurred so that the tests have very little power to detect a break that occurs at the end of the sample. We show that, in the event of a major shock, such as Covid, using knowledge that a break may have occurred and testing for a break in a recursive way as new data become available could have alerted policymakers to the break in inflation. We conduct Monte Carlo simulations suggesting that our method would have identified that a break had occurred in inflation by the end of 2020, well before policymakers had perceived the break.</p>\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1042-1070"},"PeriodicalIF":3.4,"publicationDate":"2024-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Step by Step—A Quarterly Evaluation of EU Commission's GDP Forecasts

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-09 DOI: 10.1002/for.3226

Katja Heinisch

{"title":"Step by Step—A Quarterly Evaluation of EU Commission's GDP Forecasts","authors":"Katja Heinisch","doi":"10.1002/for.3226","DOIUrl":"https://doi.org/10.1002/for.3226","url":null,"abstract":"<p>The European Commission's growth forecasts play a crucial role in shaping policies and provide a benchmark for many (national) forecasters. The annual forecasts are built on quarterly estimates, which do not receive much attention and are hardly known. Therefore, this paper provides a comprehensive analysis of multiperiod ahead quarterly GDP growth forecasts for the European Union (EU), euro area, and several EU member states with respect to first-release and current-release data. Forecast revisions and forecast errors are analyzed, and the results show that the forecasts are not systematically biased. However, GDP forecasts for several member states tend to be overestimated at short-time horizons. Furthermore, the final forecast revision in the current quarter is generally downward biased for almost all countries. Overall, the differences in mean forecast errors are minor when using real-time data or pseudo–real-time data and these differences do not significantly impact the overall assessment of the forecasts' quality. Additionally, the forecast performance varies across countries, with smaller countries and Central and Eastern European countries (CEECs) experiencing larger forecast errors. The paper provides evidence that there is still potential for improvement in forecasting techniques both for nowcasts but also forecasts up to eight quarters ahead. In the latter case, the performance of the mean forecast tends to be superior for many countries.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1026-1041"},"PeriodicalIF":3.4,"publicationDate":"2024-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3226","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Money Growth and Inflation—How to Account for the Differences in Empirical Results

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-03 DOI: 10.1002/for.3231

Martin Mandler, Michael Scharnagl

{"title":"Money Growth and Inflation—How to Account for the Differences in Empirical Results","authors":"Martin Mandler, Michael Scharnagl","doi":"10.1002/for.3231","DOIUrl":"https://doi.org/10.1002/for.3231","url":null,"abstract":"<p>Empirical analyses have presented different results on the long-run relationship between money growth and inflation with some pointing to a stable relationship with a slope coefficient of close to one and others suggesting instability or a weakening of the relationship over time. Using the example case of the United States and nearly 150 years of data, we provide a systematic investigation into and comparison of the results from time series-based empirical evidence on the relationship between money growth and inflation. We use the results from a wavelet analysis as a benchmark as it offers a flexible framework that provides information on the relationship both across different frequencies and different points in time. We relate these results to those in the literature obtained from other empirical approaches and investigate the underlying causes of differences in the results. We argue that it is possible to arrive at a consistent conclusion of a stable correlation between money growth and inflation in the United States at cycles of 30 to 60 years with a declining trend in the slope relationship even though the empirical results in the literature appear to be at odds. We show that in some analyses, the evidence on the “long-run” relationship is distorted by unintentionally including higher frequencies or that results are dominated by outliers at very low frequencies for which the data do not contain much information. Furthermore, the way in which different analyses account for time variation also can influence the results.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"1009-1025"},"PeriodicalIF":3.4,"publicationDate":"2024-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3231","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143564969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Evaluating Inflation Forecasts in the Euro Area and the Role of the ECB

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-26 DOI: 10.1002/for.3235

Bertrand Candelon, Francesco Roccazzella

引用次数: 0

Explaining and Predicting Momentum Performance Shifts Across Time and Sectors

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-26 DOI: 10.1002/for.3232

Konstantinos Mamais, Dimitrios Thomakos, Prodromos Vlamis

{"title":"Explaining and Predicting Momentum Performance Shifts Across Time and Sectors","authors":"Konstantinos Mamais, Dimitrios Thomakos, Prodromos Vlamis","doi":"10.1002/for.3232","DOIUrl":"https://doi.org/10.1002/for.3232","url":null,"abstract":"<p>In this paper, we analyze the momentum of the NASDAQ and its major sectoral components across an extended period of key economic events, which include recessions, expansions, wars, financial crises, and the Covid-19 health crisis. We seek to explain how momentum works as an investment strategy during different economic conditions and whether understanding how it works in-sample can contribute to the out-of-sample forecasting of future financial performance. The novelty of our approach rests in the identification and exploitation of momentum characteristics that lead to the ranking of sectors depending on the period of economic activity that we are in. These rankings are tested and found to be robust for the in-sample and the out-of-sample forecasting of financial performance, thus leading us to surmise that one can use the identification of past economic conditions to extrapolate for investing accordingly in the future. Our results indicate that this suggested approach works very well in practice and is, thus, a viable and fully interpretable investment strategy.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 3","pages":"960-977"},"PeriodicalIF":3.4,"publicationDate":"2024-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3232","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143565346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0