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Are Macroeconomics Forecasts Informative
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Book Synopsis Macroeconomic Forecasting in the Era of Big Data by : Peter Fuleky
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Book Synopsis Are Macroeconomics Forecasts Informative? by : Yin-Wong Cheung
Download or read book Are Macroeconomics Forecasts Informative? written by Yin-Wong Cheung and published by . This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Information and Macroeconomic Forecasts by : Sophia Chen
Download or read book Financial Information and Macroeconomic Forecasts written by Sophia Chen and published by International Monetary Fund. This book was released on 2016-12-23 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
Book Synopsis Financial Information and Macroeconomic Forecasts by : Sophia Chen
Download or read book Financial Information and Macroeconomic Forecasts written by Sophia Chen and published by International Monetary Fund. This book was released on 2017-01-18 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
Book Synopsis Are Macroeconomic Forecasts Informative? by : Yin-Wong Cheung
Download or read book Are Macroeconomic Forecasts Informative? written by Yin-Wong Cheung and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Understanding Economic Forecasts by : David F. Hendry
Download or read book Understanding Economic Forecasts written by David F. Hendry and published by MIT Press. This book was released on 2003 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to interpret and evaluate economic forecasts and the uncertainties inherent in them.
Book Synopsis Macroeconomic Forecasting by : Robert Evans
Download or read book Macroeconomic Forecasting written by Robert Evans and published by Routledge. This book was released on 2002-01-22 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on interviews with the UK government's Panel of Independent Forecasters, the author shows how economic models, forecasts and policy analysis depend crucially upon the judgements of economists.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Information Rigidities in Economic Growth Forecasts by : Jonas Dovern
Download or read book Information Rigidities in Economic Growth Forecasts written by Jonas Dovern and published by International Monetary Fund. This book was released on 2013-02-27 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989–2010. Our main findings are as follows. First, our evidence does not support the validity of the sticky information model (Mankiw and Reis, 2002) for describing the dynamics of professional growth forecasts. Instead, the empirical evidence is more in line with implications of "noisy" information models (Woodford, 2002; Sims, 2003). Second, we find that information rigidities are more pronounced in emerging economies than advanced economies. Third, there is evidence of nonlinearities in forecast smoothing. It is less pronounced in the tails of the distribution of individual forecast revisions than in the central part of the distribution.
Book Synopsis Are Macroeconomic Density Forecasts Informative? by : Michael P. Clements
Download or read book Are Macroeconomic Density Forecasts Informative? written by Michael P. Clements and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider whether survey density forecasts (such as the inflation and output growth histograms of the US Survey of Professional Forecasters) are superior to unconditional density forecasts. The unconditional forecasts assume that the average level of uncertainty experienced in the past will prevail in the future, whereas the SPF projections ought to be adapted to current conditions and the outlook at each forecast origin. The SPF forecasts might be expected to outperform the unconditional densities at the shortest horizons, but this does not transpire to be the case for the aggregate forecasts of either variable, or for the majority of the individual respondents for forecasting inflation.
Book Synopsis Forecasts in Times of Crises by : Theo S. Eicher
Download or read book Forecasts in Times of Crises written by Theo S. Eicher and published by International Monetary Fund. This book was released on 2018-03-09 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises pose unique challenges for forecast accuracy. Using the IMF’s Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in times of crises. We examine 29 macroeconomic variables in terms of bias, efficiency, and information content to find that IMF forecasts add substantial informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of nominal GDP, public investment, private investment, the current account, net transfers, and government expenditures) exhibit significant forecast bias. Forecasts for low-income countries are the main drivers of forecast bias and inefficiency, reflecting perhaps larger shocks and lower data quality. When we decompose the forecast errors into their sources, we find that forecast errors for private consumption growth are the key contributor to GDP growth forecast errors. Similarly, forecast errors for non-interest expenditure growth and tax revenue growth are crucial determinants of the forecast errors in the growth of fiscal budgets. Forecast errors for balance of payments growth are significantly influenced by forecast errors in goods import growth. The results highlight which macroeconomic aggregates require further attention in future forecast models for countries in crises.
Book Synopsis Economic Forecasting and Policy by : N. Carnot
Download or read book Economic Forecasting and Policy written by N. Carnot and published by Palgrave Macmillan. This book was released on 2011-07-26 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting.
Book Synopsis How Informative are Macroeconomic Risk Forecasts? by : Malte Knüppel
Download or read book How Informative are Macroeconomic Risk Forecasts? written by Malte Knüppel and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Are Macroeconomic Forecasting Informative? Cointegration Evidence from the ASA-NBER Survey by : Yin-Wong Cheung
Download or read book Are Macroeconomic Forecasting Informative? Cointegration Evidence from the ASA-NBER Survey written by Yin-Wong Cheung and published by . This book was released on 1999 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Forecasting in the Era of Big Data by : Peter Fuleky
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer. This book was released on 2020-12-26 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Download or read book Economic Forecasting written by N. Carnot and published by Springer. This book was released on 2005-08-12 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting. In addition, the book addresses the main issues surrounding the use of forecasts (accuracy, communication challenges) and their policy implications. A tour of the economic data and forecasting institutions is also provided.
Book Synopsis Information Choice in Macroeconomics and Finance by : Laura L. Veldkamp
Download or read book Information Choice in Macroeconomics and Finance written by Laura L. Veldkamp and published by Princeton University Press. This book was released on 2011-08-22 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative graduate textbook on information choice, an exciting frontier of research in economics and finance Most theories in economics and finance predict what people will do, given what they know about the world around them. But what do people know about their environments? The study of information choice seeks to answer this question, explaining why economic players know what they know—and how the information they have affects collective outcomes. Instead of assuming what people do or don't know, information choice asks what people would choose to know. Then it predicts what, given that information, they would choose to do. In this textbook, Laura Veldkamp introduces graduate students in economics and finance to this important new research. The book illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas. It shows how to build and test applied theory models with information frictions. And it covers recent work on topics such as rational inattention, information markets, and strategic games with heterogeneous information. Illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas Teaches how to build and test applied theory models with information frictions Covers recent research on topics such as rational inattention, information markets, and strategic games with heterogeneous information
