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  1. Macroeconomic Forecasting using Filtered Signals from a Stock Market Cross Section
    Autor*in: Chatelais, Nicolas; Stalla-Bourdillon, Arthur; Chinn, Menzie David
    Erschienen: July 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    After the Covid-shock in March 2020, stock prices declined abruptly, reflecting both the deterioration of investors' expectations of economic activity as well as the surge in aggregate risk aversion. In the following months however, whereas economic... mehr

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    After the Covid-shock in March 2020, stock prices declined abruptly, reflecting both the deterioration of investors' expectations of economic activity as well as the surge in aggregate risk aversion. In the following months however, whereas economic activity remained sluggish, equity markets sharply bounced back. This disconnect between equity values and macro-variables can be partially explained by other factors, namely the decline in risk-free interest rates, and, for the US, the strong profitability of the IT sector. As a result, an econometrician trying to forecast economic activity with aggregate stock market variables during the Covid-crisis is likely to get poor results. The main idea of the paper is thus to rely on sectorally disaggregated equity variables within a factor model to predict future US economic activity. We find, first, that the factor model better predicts future economic activity compared to aggregate equity variables or to usual benchmarks used in macroeconomic forecasting (both in-sample and out-of-sample). Second, we show that the strong performance of the factor model comes from the fact that the model filters out the "expected returns" component of the sectoral equity variables as well as the foreign component of aggregate future cash flows, and that it also overweights upstream and "value" sectors that are found to be closely linked to the future state of the US business cycle

     
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    Schriftenreihe: NBER working paper series ; no. w30305
    Schlagworte: Prognoseverfahren; Wirtschaftsprognose; Aktienmarkt; Zeitreihenanalyse; Effizienzmarkthypothese; Ereignisstudie; Finanzmarktökonometrie; Forecasting and Simulation: Models and Applications; Information and Market Efficiency; Event Studies; Insider Trading; Financial Forecasting and Simulation
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  2. A New Way of Forecasting Recessions
    Autor*in: Leamer, Edward E.
    Erschienen: July 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper proposes a new way of displaying and analyzing macroeconomic time series to form recession forecasts. The proposed data displays contain the last three years of each expansion. These allow observers to see for themselves what is... mehr

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    This paper proposes a new way of displaying and analyzing macroeconomic time series to form recession forecasts. The proposed data displays contain the last three years of each expansion. These allow observers to see for themselves what is different about the last year before recession. Based on a statistical model, the most recent data are then probabilistically inserted into these images where the recent data are most similar to the historical data. This amounts to a forecast. The traditional probit model used to forecast recessions inappropriately treats every observation as a separate experiment. This new method deals with these intra-correlation issues. The one variable that is causing a recession alarm is inflation. The unemployment rate is also alarming if the covid-19 data are omitted. The slope of the yield curve, the three-month Treasury yield, and housing starts are all two or three years from the end of the expansion. A probit model that conducts a "horse race" among these five variables reveals it is the bond market variables that best predict recessions. This leaves the Fed under control, but the 1970s data suggests it takes a recession to combat high inflation

     
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    Schriftenreihe: NBER working paper series ; no. w30247
    Schlagworte: Wirtschaftsprognose; Frühindikator; Konjunktur; Prognoseverfahren; USA; Econometrics; Quantitative and Mathematical Studies; General; Forecasting and Prediction Methods; Simulation Methods; General; Forecasting and Simulation: Models and Applications
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  3. Near-Rational Equilibria in Heterogeneous-Agent Models
    A Verification Method
    Autor*in: Kogan, Leonid; Mitra, Indrajit
    Erschienen: June 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We propose a general simulation-based procedure for estimating quality of approximate policies in heterogeneous-agent equilibrium models, which allows to verify that such approximate solutions describe a near-rational equilibrium. Our procedure... mehr

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    We propose a general simulation-based procedure for estimating quality of approximate policies in heterogeneous-agent equilibrium models, which allows to verify that such approximate solutions describe a near-rational equilibrium. Our procedure endows agents with superior knowledge of the future path of the economy, while imposing a suitable penalty for such foresight. The relaxed problem is more tractable than the original, and results in an upper bound on agents' welfare. Our method is general, straightforward to implement, and can be used in conjunction with various solution algorithms. We illustrate our approach in two applications: the incomplete-markets model of Krusell and Smith (1998) and the heterogeneous firm model of Khan and Thomas (2008)

     
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    Schriftenreihe: NBER working paper series ; no. w30111
    Schlagworte: Prognoseverfahren; CGE-Modell; Simulation; Theorie; Mathematical Methods; Methodological Issues: General; Computational Techniques; Simulation Modeling; Computable General Equilibrium Models; General; Forecasting and Simulation: Models and Applications; General Financial Markets
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  4. Comparing Past and Present Inflation
    Autor*in: Bolhuis, Marijn A.; Cramer, Judd N. L.; Summers, Lawrence Henry
    Erschienen: June 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    There have been important methodological changes in the Consumer Price Index (CPI) over time. These distort comparisons of inflation from different periods, which have become more prevalent as inflation has risen to 40-year highs. To better... mehr

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    There have been important methodological changes in the Consumer Price Index (CPI) over time. These distort comparisons of inflation from different periods, which have become more prevalent as inflation has risen to 40-year highs. To better contextualize the current run-up in inflation, this paper constructs new historical series for CPI headline and core inflation that are more consistent with current practices and expenditure shares for the post-war period. Using these series, we find that current inflation levels are much closer to past inflation peaks than the official series would suggest. In particular, the rate of core CPI disinflation caused by Volcker-era policies is significantly lower when measured using today's treatment of housing: only 5 percentage points of decline instead of 11 percentage points in the official CPI statistics. To return to 2 percent core CPI inflation today will thus require nearly the same amount of disinflation as achieved under Chairman Volcker

     
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    Schriftenreihe: NBER working paper series ; no. w30116
    Schlagworte: Verbraucherpreisindex; Methodologie; Indexberechnung; USA; Index Numbers and Aggregation; Consumption; Saving; Wealth; Price Level; Inflation; Deflation; Forecasting and Simulation: Models and Applications
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  5. What Do Long Data Tell Us About the Inflation Hike Post COVID-19 Pandemic?
    Autor*in: Schmitt-Grohé, Stephanie; Uribe, Martín
    Erschienen: August 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    To what extent is the recent spike in inflation driven by a change in its permanent component? We estimate a semi-structural model of output, inflation, and the nominal interest rate in the United States over the period 1900-2021. The model predicts... mehr

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    To what extent is the recent spike in inflation driven by a change in its permanent component? We estimate a semi-structural model of output, inflation, and the nominal interest rate in the United States over the period 1900-2021. The model predicts that between 2019 and 2021 the permanent component of inflation rose by 51 basis points. If instead we estimate the model using postwar data (1955--2021), the permanent component of inflation is predicted to have increased by 238 basis points. A possible interpretation of this finding is that the model estimated on the shorter sample assigns a larger increase in the permanent component of inflation because the period 1955-2021 does not contain sudden sparks in inflation like the one observed in the aftermath of the COVID-19 pandemic but only gradual ones---the great inflation of the 70s took more than 10 years to build up. By contrast, the period 1900-1954 is plagued with sudden inflation hikes---including one around the 1918 Spanish flu pandemic---which the estimated model endogenously recalls and uses to interpret inflation around the COVID-19 episode. This result suggests that prewar data might be of use to understand recent inflation dynamics

     
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    Schriftenreihe: NBER working paper series ; no. w30357
    Schlagworte: Inflation; Coronavirus; Inflationsrate; Längsschnittanalyse; Statistische Methode; Inflationstheorie; USA; Price Level; Inflation; Deflation; Forecasting and Simulation: Models and Applications; Monetary Policy
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  6. Real-Time Forward-Looking Skewness over the Business Cycle
    Autor*in: Dew-Becker, Ian
    Erschienen: September 2022
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    This paper measures option-implied skewness for individual firms and the overall stock market between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly... mehr

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    This paper measures option-implied skewness for individual firms and the overall stock market between 1980 and 2021, giving real-time measures of conditional micro and macro skewness. There are three key results: 1. Micro skewness is significantly procyclical, while macro skewness is acyclical; 2. Micro skewness leads the business cycle and is strongly linked to credit spreads, suggesting one potential causal channel; 3. Micro skewness is significantly, and not mechanically, correlated with macro volatility, implying that there is a common shock driving them both, which is also linked to the business cycle

     
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    Schriftenreihe: NBER working paper series ; no. w30478
    Schlagworte: Konjunktur; Wirtschaftsdaten; Zeitreihenanalyse; Statistische Verteilung; General; Investment; Capital; Intangible Capital; Capacity; Forecasting and Simulation: Models and Applications; Prices, Business Fluctuations, and Cycles; Contingent Pricing; Futures Pricing
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  7. Putting Quantitative Models to the Test
    An Application to Trump's Trade War
    Autor*in: Adão, Rodrigo; Costinot, Arnaud; Donaldson, Dave
    Erschienen: June 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    The primary motivation behind quantitative modeling in international trade and many other fields is to shed light on the economic consequences of policy changes. To help assess and potentially strengthen the credibility of such quantitative... mehr

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    The primary motivation behind quantitative modeling in international trade and many other fields is to shed light on the economic consequences of policy changes. To help assess and potentially strengthen the credibility of such quantitative predictions we introduce an IV-based goodness-of-fit measure that provides the basis for testing causal predictions in arbitrary general-equilibrium environments as well as for estimating the average misspecification in these predictions. As an illustration of how to use our IV-based goodness-of-fit measure in practice, we revisit the welfare consequences of Trump's trade war predicted by Fajgelbaum, Goldberg, Kennedy and Khandelwal (2020)

     
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    Schriftenreihe: NBER working paper series ; no. w31321
    Schlagworte: Methodologie; Modellierung; Simulation; Allgemeines Gleichgewicht; Handelskonflikt; Außenwirtschaftstheorie; Model Evaluation, Validation, and Selection; Computable General Equilibrium Models; Forecasting and Simulation: Models and Applications; General; General
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  8. Dynamic Programming on a Quantum Annealer
    Solving the RBC Model
    Autor*in: Fernández-Villaverde, Jesús; Hull, Isaiah J.
    Erschienen: June 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We introduce a novel approach to solving dynamic programming problems, such as those in many economic models, on a quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP-hard problem... mehr

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    We introduce a novel approach to solving dynamic programming problems, such as those in many economic models, on a quantum annealer, a specialized device that performs combinatorial optimization. Quantum annealers attempt to solve an NP-hard problem by starting in a quantum superposition of all states and generating candidate global solutions in milliseconds, irrespective of problem size. Using existing quantum hardware, we achieve an order-of-magnitude speed-up in solving the real business cycle model over benchmarks in the literature. We also provide a detailed introduction to quantum annealing and discuss its potential use for more challenging economic problems

     
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    Schriftenreihe: NBER working paper series ; no. w31326
    Schlagworte: Dynamische Optimierung; Mathematische Optimierung; Real-Business-Cycle-Theorie; Computational Economics; Computational Techniques; Simulation Modeling; Bargaining Theory; Matching Theory; Forecasting and Simulation: Models and Applications
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  9. Micro MPCs and Macro Counterfactuals
    The Case of the 2008 Rebates
    Autor*in: Orchard, Jacob; Ramey, Valerie A.; Wieland, Johannes
    Erschienen: August 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We present evidence that the high estimated MPCs from the leading household studies result in implausible macroeconomic counterfactuals. Using the 2008 tax rebate as a case study, we calibrate a standard medium-scale New Keynesian model with the... mehr

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    We present evidence that the high estimated MPCs from the leading household studies result in implausible macroeconomic counterfactuals. Using the 2008 tax rebate as a case study, we calibrate a standard medium-scale New Keynesian model with the estimated micro MPCs to construct counterfactual macroeconomic consumption paths in the absence of a rebate. The counterfactual paths imply that consumption expenditures would have plummeted in spring and summer 2008 and then recovered when Lehman Brothers failed in September 2008. We use narratives and forecasts to argue that these paths are implausible. We then show that standard two-way fixed effect estimates of the micro MPCs are upward biased. When we correct for the biases, we estimate smaller micro MPCs than the previous literature. We also show that reasonable modifications of the model result in general equilibrium forces that dampen rather than amplify micro MPCs. The combination of smaller micro MPCs and dampening general equilibrium forces implies general equilibrium consumption multipliers that are below 0.2

     
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    Schriftenreihe: NBER working paper series ; no. w31584
    Schlagworte: Steuervergünstigung; Privater Konsum; Marginalanalyse; Neoklassische Synthese; Consumption; Saving; Wealth; Forecasting and Simulation: Models and Applications; Fiscal Policy; Modern Monetary Theory
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  10. Biased Surveys
    Autor*in: Valchev, Rosen; Gemmi, Luca
    Erschienen: August 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We find evidence suggesting that surveys of professional forecasters are biased by strategic incentives. First, we find that individual forecasts overreact to idiosyncratic information but underreact to common information. Second, we show that this... mehr

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    We find evidence suggesting that surveys of professional forecasters are biased by strategic incentives. First, we find that individual forecasts overreact to idiosyncratic information but underreact to common information. Second, we show that this bias is not present in forecasts data that is not subject to strategic incentives. We show that our evidence is consistent with a model of strategic diversification incentives in forecast reporting. Our results caution against the use of surveys of forecasts as a direct measure of expectations, as this would overestimate the likely deviations from rational expectations, the information precision and the degree of disagreement

     
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    Schriftenreihe: NBER working paper series ; no. w31607
    Schlagworte: Prognoseverfahren; Wirtschaftsprognose; Befragung; Rationale Erwartung; Forecasting and Prediction Methods; Simulation Methods; Expectations; Speculations; Price Level; Inflation; Deflation; Forecasting and Simulation: Models and Applications; General
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  11. Global Natural Rates in the Long Run
    Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies
    Autor*in: Davis, Joshua M.; Fuenzalida, Cristian; Huetsch, Leon; Mills, Benjamin; Taylor, Alan M.
    Erschienen: October 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk premia. This natural rate puzzle applies not only in the U.S. but across many advanced economies. We use a unified no-arbitrage... mehr

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    Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk premia. This natural rate puzzle applies not only in the U.S. but across many advanced economies. We use a unified no-arbitrage macro- finance model with two trend factors to estimate the natural rate r* for 10 advanced economies. We cover a longer and wider sample than previous studies and draw on new sources to construct yield curves and excess returns. The two-trend model improves the explanatory power of yield regressions and return forecasts. Most variation in yields is due to the macro trends r* and π*, and not bond risk premia. Global components of unexpected bond returns are influential, while the local components of natural rates are large. Our r* estimates covary with growth and demographic variables in a manner consistent with theory and previous findings

     
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    Schriftenreihe: NBER working paper series ; no. w31787
    Schlagworte: Natürlicher Zins; Risikoprämie; Schätztheorie; Finanzmarkt; Theorie; Estimation: General; Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models; Interest Rates: Determination, Term Structure, and Effects; Financial Markets and the Macroeconomy; Forecasting and Simulation: Models and Applications; Asset Pricing; Trading Volume; Bond Interest Rates
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  12. Using Macro Counterfactuals to Assess Plausibility
    An Illustration using the 2001 Rebate MPCs
    Autor*in: Orchard, Jacob; Ramey, Valerie A.; Wieland, Johannes
    Erschienen: October 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Macroeconomics has increasingly adopted tools from the applied micro "credibility revolution" to estimate micro parameters that can inform macro questions. In this paper, we argue that researchers should take advantage of this confluence of micro and... mehr

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    Macroeconomics has increasingly adopted tools from the applied micro "credibility revolution" to estimate micro parameters that can inform macro questions. In this paper, we argue that researchers should take advantage of this confluence of micro and macro to take the credibility revolution one step further. We argue that researchers should assess the plausibility of the micro estimates and macro models by constructing macro counterfactuals for historical periods and comparing these counterfactuals with reasonable benchmarks. We illustrate this approach by conducting a case study of the 2001 U.S. tax rebates, as well as briefly summarizing two previous applications of the methodology. In the 2001 rebate case, we calibrate a two-good, two-agent New Keynesian model with the leading estimates of the household marginal propensity to consume (MPC) out of the rebates to construct a counterfactual path for nondurable consumption. The counterfactual path implies that without the tax rebate nondurable consumption spending would have fallen dramatically in the late summer and fall of 2001. Using forecasting regressions and other evidence, we argue that this counterfactual is implausible. When we investigate the source of the discrepancy, we find that the leading MPC estimates are not representative of the response of total consumption

     
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    Schriftenreihe: NBER working paper series ; no. w31808
    Schlagworte: Makroökonomik; Simulation; Methodologie; Besteuerungsverfahren; USA; Consumption; Saving; Wealth; Forecasting and Simulation: Models and Applications; Fiscal Policy; Modern Monetary Theory
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  13. Understanding Rationality and Disagreement in House Price Expectations
    Autor*in: Li, Zigang; Nieuwerburgh, Stijn van; Wang, Renxuan
    Erschienen: July 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    Professional house price forecast data are consistent with a rational model where agents must learn about the parameters of the house price growth process and the underlying state of the housing market. Slow learning about the long-run mean can... mehr

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    Professional house price forecast data are consistent with a rational model where agents must learn about the parameters of the house price growth process and the underlying state of the housing market. Slow learning about the long-run mean can generate forecast bias, a response of forecasts to lagged realizations, sluggish response of forecasts to contemporaneous realizations, and over-reaction to forecast revisions. Introducing behavioral biases, either over-confidence or diagnostic expectations, helps the model further improve its predictions for short-horizon over-reaction and dispersion. Using panel data for a cross-section of forecasters and a term structure of forecasts are important for generating these results

     
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    Schriftenreihe: NBER working paper series ; no. w31516
    Schlagworte: Immobilienpreis; Prognose; Erwartungsbildung; Rationale Erwartung; Verhaltensökonomik; Forecasting and Simulation: Models and Applications; Macro-Based Behavioral Economics; General; General; Other Spatial Production and Pricing Analysis
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  14. Macroeconomic Announcement Premium
    Autor*in: Ai, Hengjie; Bansal, Ravi; Guo, Hongye
    Erschienen: November 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    The paper reviews the evidence on the macroeconomic announcement premium and its implications on equilibrium asset pricing models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days with... mehr

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    The paper reviews the evidence on the macroeconomic announcement premium and its implications on equilibrium asset pricing models. Empirically, a large fraction of the equity market risk premium is realized on a small number of trading days with significant macroeconomic announcements. We review the literature that demonstrates that the existence of the macroeconomic announcement premium implies that investors' preferences must satisfy generalized risk sensitivity. We show how this conclusion generalizes to environments with heterogeneous investors and demonstrate how incorporating generalized risk sensitivity affects economic analysis in dynamic setups with uncertainty

     
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    Schriftenreihe: NBER working paper series ; no. w31923
    Schlagworte: Ankündigungseffekt; CAPM; Risikoprämie; Börsenkurs; Anlageverhalten; General; General; Forecasting and Simulation: Models and Applications; General
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  15. The Predictive Power of the Term Spread and Financial Variables for Economic Activity across Countries
    Autor*in: Chinn, Menzie David; Ferrara, Laurent
    Erschienen: January 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we... mehr

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    In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we re-examine the evidence for this predictor for the United States, other high-income countries, as well as selected emerging market economies (Brazil, India, China, South Africa and South Korea), over the 1995-2023 period. We examine the sensitivity of the results to the addition of financial variables that measure other dimensions of financial conditions both domestically and internationally. Specifically, we account for financial conditions indexes (Arrigoni, et al., 2022), the debt service ratio (Borio, et al., 2020), and foreign term spreads (Ahmed and Chinn, 2023). We find that foreign term spreads and the debt service ratio in many cases yield substantially better predictive power, in terms of in-sample fit using proportion of variance explained. Overall, the predictive power of the yield curve, as well as other financial variables, varies across countries, with particularly little explanatory power in emerging market economies

     
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    Schriftenreihe: NBER working paper series ; no. w32084
    Schlagworte: Rendite; Zinsstruktur; Prognoseverfahren; Frühindikator; Wirtschaftsindikator; Zeitreihenanalyse; Welt; Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; Forecasting and Simulation: Models and Applications; Interest Rates: Determination, Term Structure, and Effects
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  16. The Dominant Role of Expectations and Broad-Based Supply Shocks in Driving Inflation
    Autor*in: Beaudry, Paul; Hou, Chenyu; Portier, Franck
    Erschienen: April 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    The object of this paper is to assess the role of supply shocks, labour market tightness and expectation formation in explaining bouts of inflation. We begin by showing that a quasi-flat Phillips curve, which was popular prior to the pandemic,... mehr

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    The object of this paper is to assess the role of supply shocks, labour market tightness and expectation formation in explaining bouts of inflation. We begin by showing that a quasi-flat Phillips curve, which was popular prior to the pandemic, still fits the post-2020 US data well and that changes in short term inflation expectations induced by supply shocks likely played a major role in the recent inflation episode. We then document features of the joint dynamics of inflation and inflation expectations. Given the difficulty of reproducing these dynamics under rational expectations, we propose and evaluate a model with imperfect information and bounded rationality. In our model, agents see sectoral inflations as being driven by a component common to all the sectors of the economy and by sector-specific shocks. When supply shocks affect many sectors (what we refer to as a broad-based supply shock), agents infer that the common component of inflation has increased, which drive persistent inflation dynamics through their effect of expectations. We show that departure from full rationality is minor, but that it is enough for broad-based supply shocks to be amplified and propagated over time in a manner needed to explain the data

     
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    Schriftenreihe: NBER working paper series ; no. w32322
    Schlagworte: Erwartungsbildung; Inflationserwartung; Inflation; Phillips-Kurve; Price Level; Inflation; Deflation; Forecasting and Simulation: Models and Applications; Macro-Based Behavioral Economics
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  17. The effectiveness of central bank purchases of long-term treasury securities
    a neural network approach
    Autor*in: Tänzer, Alina
    Erschienen: [2024]
    Verlag:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six... mehr

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    Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables between 1990 and 2015, the economy is estimated by artificial neural networks. Historical counterfactual analyses show that real effects are less pronounced than yield effects. Disentangling the effects of the individual asset purchase programs, impulse response functions provide evidence for QE being less effective the more the crisis is overcome. The peak effects of all QE interventions during the Financial Crisis only amounts to 1.3 pp for GDP growth and 0.6 pp for inflation respectively. Hence, the time as well as the volume of the interventions should be deliberated.

     
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    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; no. 204 (2024)
    Schlagworte: Artificial Intelligence; Machine Learning; Neural Networks; Forecasting and Simulation: Models and Applications; Financial Markets and the Macroeconomy; Monetary Policy; Central Banks and Their Policies
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  18. Nowcasting World Trade with Machine Learning
    a Three-Step Approach
    Autor*in: Chinn, Menzie David; Meunier, Baptiste; Stumpner, Sebastian
    Erschienen: June 2023
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, gradient linear boosting). While much less used in the... mehr

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    We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, gradient linear boosting). While much less used in the literature, the latter are found to outperform not only the tree-based techniques, but also more "traditional" linear and non-linear techniques (OLS, Markov-switching, quantile regression). They do so significantly and consistently across different horizons and real-time datasets. To further improve performances when forecasting with machine learning, we propose a flexible three-step approach composed of (step 1) pre-selection, (step 2) factor extraction and (step 3) machine learning regression. We find that both pre-selection and factor extraction significantly improve the accuracy of machine-learning-based predictions. This three-step approach also outperforms workhorse benchmarks, such as a PCA-OLS model, an elastic net, or a dynamic factor model. Finally, on top of high accuracy, the approach is flexible and can be extended seamlessly beyond world trade

     
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    Schriftenreihe: NBER working paper series ; no. w31419
    Schlagworte: Internationale Wirtschaft; Prognoseverfahren; Modellierung; Künstliche Intelligenz; Nowcasting; Forecasting and Prediction Methods; Simulation Methods; Econometrics of Games and Auctions; Forecasting and Simulation: Models and Applications
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