Journal of Forecasting最新文献_第7页

Formalizing a Postprocessing Procedure for Linear–Convex Combination Forecasts 线性-凸组合预测的后处理程序的形式化

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-08 DOI: 10.1002/for.3229

Verena Monschang, Bernd Wilfling

引用次数: 0

Money Growth and Inflation—How to Account for the Differences in Empirical Results 货币增长与通货膨胀——如何解释实证结果的差异

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":"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.","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

Trade and Economic Activity: Nonlinear Modeling and Forecasting 贸易与经济活动：非线性建模与预测

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-12-01 DOI: 10.1002/for.3230

Alessandro Borin, Andrea Gazzani, Michele Mancini

{"title":"Trade and Economic Activity: Nonlinear Modeling and Forecasting","authors":"Alessandro Borin, Andrea Gazzani, Michele Mancini","doi":"10.1002/for.3230","DOIUrl":"https://doi.org/10.1002/for.3230","url":null,"abstract":"<div>\u0000 \u0000 Motivated by the increasing role of trade in global economic developments, this paper derives novel econometric methods to forecast global trade by exploiting the relationship between economic activity and trade itself. We empirically document that the relation between trade and economic activity changes along the business cycle—the stronger the cycle, the larger their elasticity. Consistently with theoretical predictions, such cyclicality depends on two key factors: (i) the high pro-cyclicalilty of the demand for intensively traded items and (ii) the presence of low-frequency (“trend”) components in trade and GDP series. We show that the latter is key to generate a cyclical income elasticity of trade and that a linear relationship holds once those components are filtered out. These empirical findings are exploited in two original empirical approaches to map GDP forecasts, for which rather accurate and timely projections are available, into world trade forecast. In an out-of-sample real-time forecasting exercise, with both the proposed methods, we obtain predictions that are vividly more accurate than naive linear models and nearly halve the forecast error of the IMF-WEO.\u0000 </div>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1247-1265"},"PeriodicalIF":3.4,"publicationDate":"2024-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206416","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

Visualizing Uncertainty in Time Series Forecasts: The Impact of Uncertainty Visualization on Users' Confidence, Algorithmic Advice Utilization, and Forecasting Performance 可视化时间序列预测中的不确定性：不确定性可视化对用户信心、算法建议利用率和预测性能的影响

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-28 DOI: 10.1002/for.3222

Dirk Leffrang, Oliver Müller

{"title":"Visualizing Uncertainty in Time Series Forecasts: The Impact of Uncertainty Visualization on Users' Confidence, Algorithmic Advice Utilization, and Forecasting Performance","authors":"Dirk Leffrang, Oliver Müller","doi":"10.1002/for.3222","DOIUrl":"https://doi.org/10.1002/for.3222","url":null,"abstract":"Time series forecasts are always associated with uncertainty. However, experimental studies on the impact of uncertainty communication provide inconclusive results on the effect of providing this uncertainty to end users. In this study, we examine the impact of uncertainty visualizations on advice utilization in the context of time series forecasts with line charts. Based on a literature review, we identified probabilistic framing versus frequency framing as a theoretical foundation for studying the topic. We then used the Judge Advisor System (JAS) as a framework to create an experimental design with two treatments (95% prediction interval [PI] and ensemble plots), one control group (point plot), and various mediating variables (e.g., confidence, graph literacy, and domain knowledge). The results of an online experiment (\u0000<math>\u0000 <mi>N</mi>\u0000 <mo>=</mo>\u0000 <mn>239</mn></math>) indicate a U-shaped relation between uncertainty visualization and forecasting performance. Additionally, we examine how confidence, advice utilization, and other factors mediate the effect of uncertainty visualizations. This paper highlights the benefits of PI plots for researchers and practitioners engaged in the development of effective uncertainty visualizations for decision-making processes.","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1235-1246"},"PeriodicalIF":3.4,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3222","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206959","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 评估欧元区的通胀预测和欧洲央行的作用

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 解释和预测跨时间和行业的动量表现变化

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":"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.","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

Regime-Switching Density Forecasts Using Economists' Scenarios 利用经济学家的情景预测体制转换密度

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-25 DOI: 10.1002/for.3228

Graziano Moramarco

引用次数: 0

Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models 结合持续期相关马尔可夫切换模型的波动率预测

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-25 DOI: 10.1002/for.3212

Douglas Eduardo Turatti, Fernando Henrique de Paula e Silva Mendes, João H. G. Mazzeu

{"title":"Combining Volatility Forecasts of Duration-Dependent Markov-Switching Models","authors":"Douglas Eduardo Turatti, Fernando Henrique de Paula e Silva Mendes, João H. G. Mazzeu","doi":"10.1002/for.3212","DOIUrl":"https://doi.org/10.1002/for.3212","url":null,"abstract":"Duration-dependent Markov-switching (DDMS) models require a user-specified duration hyperparameter, for which there is currently no established procedure for estimation or testing. As a result, an ad-hoc duration choice must be heuristically justified. This paper proposes a methodology for handling duration selection in DDMS models, with a focus on volatility forecasting. The main novelty lies in generating forecasts through model combination techniques. The idea is that the combined forecasts will be more robust to misspecification in selecting the duration structure, thus yielding more accurate forecasts. Additionally, the paper contributes to the literature by evaluating the out-of-sample volatility forecasting performance of DDMS models compared to benchmark conditional volatility models. Empirical analysis involves returns from three distinct asset classes: a cryptocurrency, a stock market index, and a foreign currency exchange rate. Various volatility proxies and robust loss functions are incorporated into our analysis. The results indicate that combined forecasts outperform individual models and, in some cases, are more accurate than GARCH and MS-GARCH models. Furthermore, models with fixed duration typically underperform relative to the simple GARCH model, often resulting in test rejections.","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":"44 4","pages":"1195-1210"},"PeriodicalIF":3.4,"publicationDate":"2024-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3212","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144206984","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

Fiscal Forecasting Rationality Among Expert Forecasters 预测专家的财政预测合理性

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-25 DOI: 10.1002/for.3237

Belen Chocobar, Peter Claeys, Marcos Poplawski-Ribeiro

引用次数: 0

Crossproduct Effect and Volatility Forecasting 交叉积效应与波动率预测

IF 3.4 3区经济学

Journal of Forecasting Pub Date : 2024-11-25 DOI: 10.1002/for.3223

Jiafu Xu, Xinyu Wu, Haibin Xie

引用次数: 0