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Displaying results 1 to 9 of 9.

  1. The FOMC versus the Staff: do policymakers add value in their tales?
    Author: Filippou, Ilias; Mitchell, James; Nguyen, My T.
    Published: [2023]
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 36
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: This version: August 28, 2023
    Series: Federal Reserve Bank of Cleveland working paper series ; no. 23, 20 (July 2023)
    Subjects: Monetary Policy; Sentiment; Uncertainty; Risk; Forecast Evaluation; FOMC Meetings; Textual Analysis; Machine Learning; Quantile Regression
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  2. Covid-19 and output in Japan
    Author: Fujii, Daisuke; Nakata, Taisuke
    Published: [2021]
    Publisher:  RIETI, [Tokyo, Japan]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: RIETI discussion paper series ; 21-E, 004 (January 2021)
    Subjects: COVID-19; Emergency Declaration; Forecast Evaluation; Japan; Macro-SIRD model; Vaccines
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  3. Optimal out-of-sample forecast evaluation under stationarity
    Author: Staněk, Filip
    Published: November 2021
    Publisher:  Charles University, Center for Economic Research and Graduate Education, Prague

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788073435196; 9788073446147
    Series: Working paper series / CERGE-EI ; 712
    Subjects: Loss Estimation; Forecast Evaluation; Cross-Validation; Model Selection
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. Score-based calibration testing for multivariate forecast distributions
    Author: Knüppel, Malte; Krüger, Fabian; Pohle, Marc-Oliver
    Published: [2022]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    Multivariate distributional forecasts have become widespread in recent years. To assess the quality of such forecasts, suitable evaluation methods are needed. In the univariate case, calibration tests based on the probability integral transform (PIT)... more

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    Multivariate distributional forecasts have become widespread in recent years. To assess the quality of such forecasts, suitable evaluation methods are needed. In the univariate case, calibration tests based on the probability integral transform (PIT) are routinely used. However, multivariate extensions of PIT-based calibration tests face various challenges. We therefore introduce a general framework for calibration testing in the multivariate case and propose two new tests that arise from it. Both approaches use proper scoring rules and are simple to implement even in large dimensions. The first employs the PIT of the score. The second is based on comparing the expected performance of the forecast distribution (i.e., the expected score) to its actual performance based on realized observations (i.e., the realized score). The tests have good size and power properties in simulations and solve various problems of existing tests. We apply the new tests to forecast distributions for macroeconomic and financial time series data.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299291
    Other identifier:
    hdl: 10419/268250
    Series: Discussion paper / Deutsche Bundesbank ; no 2022, 50
    Subjects: Forecast Evaluation; Density Forecasts; Ensemble Forecasts
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  5. Covid-19 and output in Japan
    Author: Fujii, Daisuke; Nakata, Taisuke
    Published: [2021]
    Publisher:  Center for Advanced Research in Finance, [Tokyo]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: First draft: January 2021
    Series: Array ; CARF-F-505
    Subjects: Covid-19; Emergency Declaration; Forecast Evaluation; Japan; Macro-SIRD model; Vaccines
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  6. Nowcasting Norwegian household consumption with debit card transaction data
    Author: Aastveit, Knut Are; Fastbø, Tuva Marie; Granziera, Eleonora; Paulsen, Kenneth Sæterhagen; Torstensen, Kjersti Næss
    Published: [2020]
    Publisher:  Norges Bank, Oslo

    We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors and are available weekly... more

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    We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors and are available weekly without delays, providing a valuable early indicator of household spending. To account for mixed-frequency data, we estimate various mixed-data sampling (MIDAS) regressions using predictors sampled at monthly and weekly frequency. We evaluate both point and density forecasting performance over the sample 2011Q4-2020Q1. Our results show that MIDAS regressions with debit card transactions data improve both point and density forecast accuracy over competitive standard benchmark models that use alternative high-frequency predictors. Finally, we illustrate the benefits of using the card payments data by obtaining a timely and relatively accurate nowcast of the first quarter of 2020, a quarter characterized by heightened uncertainty due to the COVID-19 pandemic.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283791747
    Other identifier:
    hdl: 11250/2722899
    hdl: 10419/246114
    Series: Working paper / Norges Bank ; 2020, 17
    Subjects: Debit Card Transaction Data; Nowcasting; Forecast Evaluation; COVID-19
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  7. The bias and efficiency of the ECB inflation projections
    a state dependent analysis
    Author: Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta
    Published: [2021]
    Publisher:  Norges Bank, Oslo

    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether... more

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    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are unbiased and efficient on average, however there is evidence of state dependence. In particular, the ECB tends to overpredict (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is larger when inflation is above the target. These results hold even after accounting for errors in the external assumptions. We also find evidence of inefficiency, in the form of underreaction to news, but only when inflation is above the target. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283791891
    Other identifier:
    hdl: 11250/2755864
    hdl: 10419/246122
    Series: Working paper / Norges Bank ; 2021, 1
    Subjects: Forecast Evaluation; Forecast Efficiency; Inflation Forecasts; Central Bank Communication
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  8. The bias and efficiency of the ECB inflation projections
    a state dependent analysis
    Author: Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta
    Published: 29 April 2021
    Publisher:  Bank of Finland, Helsinki

    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether... more

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    Verlag (kostenfrei)
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    Signature:
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    We test for bias and efficiency of the ECB inflation forecasts using a confidential dataset of ECB macroeconomic quarterly projections. We investigate whether the properties of the forecasts depend on the level of inflation, by distinguishing whether the inflation observed by the ECB at the time of forecasting is above or below the target. The forecasts are unbiased and efficient on average, however there is evidence of state dependence. In particular, the ECB tends to overpredict (underpredict) inflation at intermediate forecast horizons when inflation is below (above) target. The magnitude of the bias is larger when inflation is above the target. These results hold even after accounting for errors in the external assumptions. We also find evidence of inefficiency, in the form of underreaction to news, but only when inflation is above the target. Our findings bear important implications for the ECB forecasting process and ultimately for its communication strategy.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789523233744
    Other identifier:
    hdl: 10419/240347
    Series: Bank of Finland research discussion papers ; 2021, 7
    Subjects: Forecast Evaluation; Forecast Efficiency; Inflation Forecasts; Central Bank Communication
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  9. The bias of the ECB inflation projections
    a State-dependent analysis
    Author: Granziera, Eleonora; Jalasjoki, Pirkka; Paloviita, Maritta
    Published: 22 May 2024
    Publisher:  Bank of Finland, Helsinki

    We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is... more

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    We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is most pronounced at intermediate forecasting horizons. This suggests that inflation is projected to revert towards the target too quickly. These results cannot be fully explained by the persistence embedded in the forecasting models nor by errors in the exogenous assumptions on interest rates, exchange rates or oil prices. The state-dependent bias may be consistent with the aim of managing inflation expectations, as published forecasts play a central role in the ECB's monetary policy communication strategy.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/295738
    Series: Bank of Finland research discussion papers ; 2024, 4
    Subjects: Inflation Forecasts; Forecast Evaluation; ECB; Central Bank Communication
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen