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  1. Inflation expectations and their role in Eurosystem forecasting
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper summarises the findings of the Eurosystem's Expert Group on Inflation Expectations (EGIE), which was one of the 13 work streams conducting analysis that fed into the ECB's monetary policy strategy review. The EGIE was tasked with (i)... more

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    This paper summarises the findings of the Eurosystem's Expert Group on Inflation Expectations (EGIE), which was one of the 13 work streams conducting analysis that fed into the ECB's monetary policy strategy review. The EGIE was tasked with (i) reviewing the nature and behaviour of inflation expectations, with a focus on the degree of anchoring, and (ii) exploring the role that measures of expectations can play in forecasting inflation. While it is households' and firms' inflation expectations that ultimately matter in the expectations channel, data limitations have meant that in practice the focus of analysis has been on surveys of professional forecasters and on market-based indicators.Regarding the anchoring of inflation expectations, this paper considers a number of metrics: the level of inflation expectations, the responsiveness of longer-term inflation expectations to shorter-term developments, and the degree of uncertainty. Different metrics can provide conflicting signals about the scale and timing of potential unanchoring, which underscores the importance of considering all of them. Overall, however, these metrics suggest that in the period since the global financial and European debt crises, longer-term inflation expectations in the euro area have become less well anchored. Regarding the role measures of inflation expectations can play in forecasting inflation, this paper finds that they are indicative for future inflationary developments. When it comes to their predictive power, both market-based and survey-based measures are found to be more accurate than statistical benchmarks, but do not systematically outperform each other. Beyond their role as standalone forecasts, inflation expectations bring forecast gains when included in forecasting models and can also inform scenario and risk analysis in projection exercises performed using structural models. In terms of the implications for the ECB's economic and monetary analysis going forward, the work of the EGIE essentially highlights the need for (i) more data on households’ and firms’ inflation expectations, (ii) a comprehensive framework for assessing (un)anchoring and (iii) further considerations regarding the use of observed expectation measures in forecasting models.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
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    ISBN: 9789289944717
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    hdl: 10419/246195
    Series: Occasional paper series / European Central Bank ; no 264 (September 2021)
    ECB strategy review
    Subjects: Inflation expectations; anchoring; forecasting; macroeconomics; monetary policy
    Scope: 1 Online-Ressource (146 Seiten), Illustrationen, Diagramme
  2. Forecasting Italian GDP growth with epidemiological data
    Author: Aprigliano, Valentina; Borin, Alessandro; Conteduca, Francesco Paolo; Emiliozzi, Simone; Flaccadoro, Marco; Marchetti, Sabina; Villa, Stefania
    Published: [2021]
    Publisher:  Banca d'Italia, [Rom]

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    Series: Questioni di economia e finanza / Banca d'Italia ; number 664 (December 2021)
    Subjects: forecasting; Covid-19; SIR model
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. A simple linear alternative to multiplicative error models with an application to trading volume
    Author: Clements, Adam; Hurn, Stan; Volkov, V. V.
    Published: [2021]
    Publisher:  University of Tasmania, [Hobart, Tasmania]

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    ISBN: 9781922708083
    Series: Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania ; N 2021, 06
    Subjects: Volume; forecasting; high-frequency data; CMEM; diurnal
    Scope: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  4. Augmented real-time GARCH
    a joint model for returns, volatility and volatility of volatility
    Author: Ding, Dexter
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 2112
    Subjects: GARCH; diffusion limit; forecasting; volatility of volatility
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  5. Do inflation expectations improve model-based inflation forecasts?
    Author: Bańbura, Marta; Leiva-León, Danilo; Menz, Jan-Oliver
    Published: 2021
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2138
    Subjects: forecasting; inflation; inflation expectations; Phillips curve; bayesian VAR
    Scope: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  6. Fiscal targeting
    Author: Barnichon, Régis; Mesters, Geert
    Published: July 2021
    Publisher:  Universitat Pompeu Fabra, Department of Economics and Business, Barcelona

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    Series: Economics working paper series ; no. 1793
    Subjects: fiscal rule; impulse responses; forecasting; stability and growth pact
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  7. Conditional heteroskedasticity in the volatility of asset returns
    Author: Ding, Yashuang
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 2179
    Janeway Institute working paper series ; 2021, 11
    Subjects: GARCH; SHARV; volatility; volatility of volatility; forecasting
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  8. Fiscal targeting
    Author: Barnichon, Régis; Mesters, Geert
    Published: July 2021
    Publisher:  GSE, Graduate School of Economics, Barcelona

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    Series: Barcelona GSE working paper series ; no 1277
    Subjects: fiscal rule; impulse responses; forecasting; stability and growth pact
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  9. Selective attention in exchange rate forecasting
    Author: Kapounek, Svatopluk; Kučerová, Zuzana; Kočenda, Evžen
    Published: February 2021
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of... more

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    We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs for the period of 1979–2016. We employ a dynamic model averaging approach to reduce model selection uncertainty and to identify time-varying probability to include regressors in our models. Our results show that smaller sizes models accounting for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a growing impact of foreign trade and monetary policy news on the euro/dollar exchange rate following the global financial crisis. Overall, our results point to the existence of selective attention in the case of most currency pairs.

     
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    Series: CESifo working paper ; no. 8901 (2021)
    Subjects: exchange rate; selective attention; news; forecasting; dynamic model averaging
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  10. Is price level targeting a robust monetary rule?
    Author: Deak, Szabolcs; Levine, Paul; Mirza, Afrasiab; Pearlman, Joseph
    Published: [2021]
    Publisher:  University of Exeter, Business School, [Exeter]

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    Series: Department of Economics Discussion Papers ; paper number 21, 04
    Subjects: bayesian estimation; DSGE models; financial frictions; forecasting; prediction pools; optimal simple rules
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  11. Financial instability and economic activity
    Author: Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold
    Published: [2021]
    Publisher:  Institut für Höhere Studien - Institute for Advanced Studies (IHS), Wien

    We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where... more

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    We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where our methodological approach is based on the uncertainty index of Jurado, Ludvigson and Ng (2015). We perform an impulse response analysis in a vector error correction framework, where we focus on the impact of uncertainty shocks on industrial production, employment and the stock market. We find that financial uncertainty shows a strong significantly negative impact on the stock market, for both Austria and the euro area, while economic uncertainty shows a strong significantly negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits of uncertainty indicators for forecasting industrial production, employment and the stock market, using different forecast performance measures. The results suggest that financial uncertainty improves the forecasts of the stock market while economic uncertainty improves the forecasts of macroeconomic variables. We also use aggregate banking data to construct an augmented financial uncertainty index and examine whether models including this augmented financial uncertainty index outperform models including the original financial uncertainty index in terms of forecasting.

     
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    Series: IHS working paper ; 36 (November 2021)
    Subjects: financial (in)stability; uncertainty; financial crisis; forecasting; stochastic volatility; factor models
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  12. Antecipação fiscal, não fundamentalidade e não causalidade no Brasil
    Author: Borelli, Luan; Vonbun, Christian; Góes, Geraldo Sandoval
    Published: setembro de 2021
    Publisher:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    So far, there are very few papers concerning the problems of non causality and non-fundamentalness in fiscal studies. This is even truer for Brazil. Non causality and non fundamentalness are econometric problems that are specially relevant in fiscal... more

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    So far, there are very few papers concerning the problems of non causality and non-fundamentalness in fiscal studies. This is even truer for Brazil. Non causality and non fundamentalness are econometric problems that are specially relevant in fiscal studies, as they are relate to fiscal foresight, a natural phenomenon in fiscal studies. Fiscal foresight is the ability, by market participants, to forecast and preview government expenditures before they effectively happen. This happens because of the legal bureaucracy that commands fiscal expenditures and tax collection. The present paper fulfills part of this gap by presenting and discussing those issues and by treating such a problem reported in Brazilian data. We estimate a non causal VAR with Brazilian typical data and compare its forecasts to a regular causal VAR, using the same data found to be non-fundamental by Vonbun and Lima (2020). The results suggest that expectations may have a role in the determination of the effects fiscal policy, as the non causal VAR has shown substantially better predictive ability than the regular causal VAR for that dataset.

     
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    Language: Portuguese
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    Series: Texto para discussão / Ipea ; 2699
    Subjects: fiscal policy; VAR; macroeconometrics; fundamentalness; forecasting
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  13. Inflation expectations and their role in Eurosystem forecasting
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper summarises the findings of the Eurosystem's Expert Group on Inflation Expectations (EGIE), which was one of the 13 work streams conducting analysis that fed into the ECB's monetary policy strategy review. The EGIE was tasked with (i)... more

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    This paper summarises the findings of the Eurosystem's Expert Group on Inflation Expectations (EGIE), which was one of the 13 work streams conducting analysis that fed into the ECB's monetary policy strategy review. The EGIE was tasked with (i) reviewing the nature and behaviour of inflation expectations, with a focus on the degree of anchoring, and (ii) exploring the role that measures of expectations can play in forecasting inflation. While it is households' and firms' inflation expectations that ultimately matter in the expectations channel, data limitations have meant that in practice the focus of analysis has been on surveys of professional forecasters and on market-based indicators.Regarding the anchoring of inflation expectations, this paper considers a number of metrics: the level of inflation expectations, the responsiveness of longer-term inflation expectations to shorter-term developments, and the degree of uncertainty. Different metrics can provide conflicting signals about the scale and timing of potential unanchoring, which underscores the importance of considering all of them. Overall, however, these metrics suggest that in the period since the global financial and European debt crises, longer-term inflation expectations in the euro area have become less well anchored. Regarding the role measures of inflation expectations can play in forecasting inflation, this paper finds that they are indicative for future inflationary developments. When it comes to their predictive power, both market-based and survey-based measures are found to be more accurate than statistical benchmarks, but do not systematically outperform each other. Beyond their role as standalone forecasts, inflation expectations bring forecast gains when included in forecasting models and can also inform scenario and risk analysis in projection exercises performed using structural models. In terms of the implications for the ECB's economic and monetary analysis going forward, the work of the EGIE essentially highlights the need for (i) more data on households’ and firms’ inflation expectations, (ii) a comprehensive framework for assessing (un)anchoring and (iii) further considerations regarding the use of observed expectation measures in forecasting models.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289944717
    Other identifier:
    hdl: 10419/246195
    Series: Occasional paper series / European Central Bank ; no 264 (September 2021)
    ECB strategy review
    Subjects: Inflation expectations; anchoring; forecasting; macroeconomics; monetary policy
    Scope: 1 Online-Ressource (146 Seiten), Illustrationen, Diagramme
  14. Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
    Author: Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; Veraart, Almut E. D.
    Published: [2021]
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Series: CREATES research paper ; 2021, 12
    Subjects: Integer valued trawl process; Lévy basis; composite likelihood; pairwise likelihood; estimation; model selection; forecasting
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen
  15. Measuring market expectations
    Author: Baumeister, Christiane
    Published: September 2021
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s... more

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    Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy developments. This paper reviews empirical approaches for recovering market-based expectations. It starts by laying out the two canonical modeling frameworks that form the backbone for estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium estimates and to identify the most accurate market-based expectation measure. The usefulness of this general approach is illustrated for price expectations in the global oil market. Then, the paper provides an overview of the body of empirical evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that complicate the quest for the best possible market-based expectation measure. Finally, it discusses a number of economic applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock measures.

     
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    hdl: 10419/245486
    Series: CESifo working paper ; no. 9305 (2021)
    Subjects: futures markets; risk premia; monetary policy; commodities; market expectations; financial markets; asset pricing; return regressions; affine term structure models; risk adjustment; model uncertainty; forecasting; expectational shocks
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  16. Exploring the use of internet searches to predict unemployment in Trinidad and Tobago
    Author: Roopnarine, Karen A.; Spencer, Janelle D.
    Published: [2021]
    Publisher:  Central Bank of Trinidad & Tobago, [Port-of-Spain]

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    Series: Working paper series / Central Bank of Trinidad and Tobago ; WP 2021, 04 (September 2021)
    Subjects: Google Trends; unemployment rate; seasonal ARIMA; forecasting; Trinidad and Tobago
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  17. The power of text-based indicators in forecasting the Italian economic activity
    Author: Aprigliano, Valentina; Emiliozzi, Simone; Guaitoli, Gabriele; Luciani, Andrea; Marcucci, Juri; Monteforte, Libero
    Published: [2021]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1321 (March 2021)
    Subjects: forecasting; text mining; sentiment; economic policy uncertainty; big data; BMA
    Scope: 1 Online-Ressource (circa 57 Seiten)
  18. Can we measure inflation expectations using Twitter?
    Author: Angelico, Cristina; Marcucci, Juri; Miccoli, Marcello; Quarta, Filippo
    Published: [2021]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1318 (February 2021)
    Subjects: inflation expectations; Twitter data; text mining; big; data; survey-basedmeasures; market-based measures; forecasting
    Scope: 1 Online-Ressource (circa 113 Seiten), Illustrationen
  19. Forecasting of cohort fertility by educational level in countries with limited data availability: the case of Brazil
    Author: Batyra, Ewa; Leone, Tiziana; Myrskylä, Mikko
    Published: [2021]
    Publisher:  Max Planck Institute for Demographic Research, Rostock, Germany

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    Series: MPIDR working paper ; WP 2021, 011 (June 2021)
    Subjects: cohort fertility; forecasting; Brazil; education; census data
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  20. Forecasting output growth of advanced economies over eight centuries
    the role of gold market volatility as a proxy of global uncertainty
    Author: Salisu, Afees A.; Gupta, Rangan; Karmakar, Sayar; Das, Sonali
    Published: [2021]
    Publisher:  City University of Hong Kong, College of Business, Department of Economics & Finance, Hong Kong

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    Series: Global Research Unit working paper ; # 2021, 017
    Subjects: Historical output growth; advance economies; gold market volatility; forecasting
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  21. Potential mobility from Africa, Middle East and EU neighbouring countries to Europe
    Author: Mara, Isilda; Landesmann, Michael; Grieveson, Richard
    Published: May 2021
    Publisher:  Wiener Institut für Internationale Wirtschaftsvergleiche, Wien

    Migration from Africa and the Middle East to the EU has intensified over the last two decades. Relative differences between developed EU and less developed African and Middle East countries have not declined that much and continue to drive mobility.... more

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    Migration from Africa and the Middle East to the EU has intensified over the last two decades. Relative differences between developed EU and less developed African and Middle East countries have not declined that much and continue to drive mobility. Also, demographic trends show a strong contrast between the population of the EU (ageing and shrinking rapidly) and that of Africa and the Middle East (young and continuously increasing). Apart from demographic pressures and development gaps, other forces related to conflicts and wars, as well as climate risks, have become important drivers of mobility and are not expected to fade away soon. Anticipating migration flows in order to ensure better management and regulated mobility has become essential, although this is an exercise subject to high uncertainty. With these caveats in mind, this study seeks to calculate long-term potential mobility from Africa, the Middle East and Eastern EU neighbouring countries to EU28 and EFTA by applying a migration gravity model following a scenario-based approach. Projections for 2020-2029 suggest that migration flows to the EU from Africa, in particular, will dominate the South-North mobility corridor. Migration policies will also play a role in shaping future migration trends, as migration flows are subject to EU destination countries' applying restrictive migration policies.

     
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    hdl: 10419/240642
    Series: Working paper / wiiw ; 199
    Subjects: International Migration; forecasting; scenario; gravity model; EU; Africa
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  22. Regime-dependent commodity price dynamics
    a predictive analysis
    Author: Crespo Cuaresma, Jesús; Fortin, Ines; Hlouskova, Jaroslava; Obersteiner, Michael
    Published: [2021]
    Publisher:  Institut für Höhere Studien - Institute for Advanced Studies (IHS), Wien

    We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions.... more

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    We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at different states of the world and using different performance measures to validate the predictions. We assess the extent to which the quality of the forecasts can be improved by entertaining different regime-dependent threshold models considering different threshold variables. We evaluate prediction quality using both loss minimization and profit maximization measures based on directional accuracy, directional value, the ability to predict adverse movements and returns implied by a trading strategy. Our analysis provides overwhelming evidence that allowing for regime-dependent dynamics leads to improvements in predictive ability for the Goldman Sachs Commodity Index, as well as for its five sub-indices (energy, industrial metals, precious metals, agriculture, livestock). Our results suggest the existence of a trade-off between predictive ability based on loss and profit measures, which implies that the particular aim of the prediction exercise carried out plays a very important role in terms of defining which set of models is the best to use.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/228666
    Series: IHS working paper ; 28 (January 2021)
    Subjects: Commodity prices; forecasting; threshold models; forecast performance; states of economy
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  23. Analysis of forecasting models in an electricity market under volatility
    Author: Uddin, Mohammed Gazi Salah; Tang, Ou; Sahamkhadam, Maziar; Taghizadeh-Hesary, Farhad; Yahya, Muhammad; Cerin, Pontus; Rehme, Jakob
    Published: [2021]
    Publisher:  Asian Development Bank Institute, Tokyo, Japan

    Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. This study reports an extensive... more

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    Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased interest, the literature lacks a concrete consensus on the most suitable forecasting approach. This study reports an extensive empirical analysis that we conducted to evaluate the short-term price forecasting dynamics of different regions in the Swedish electricity market (SEM). We utilized several forecasting approaches ranging from standard conditional volatility models to wavelet-based forecasting. In addition, we performed out-of-sample forecasting and back-testing, and we evaluated the performance of these models. Our empirical analysis indicates that an ARMA-GARCH framework with the Student's t-distribution significantly outperforms other frameworks. We only performed wavelet-based forecasting based on the MAPE. The results of the robust forecasting methods are capable of displaying the importance of proper forecasting process design, policy implications for market efficiency, and predictability in the SEM.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/238569
    Series: ADBI working paper series ; no. 1212 (January 2021)
    Subjects: forecasting; Swedish electricity market; GARCH modeling; multi-scale analysis
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  24. Dynamic econometrics in action: a biography of David F. Hendry
    Author: Ericsson, Neil R.
    Published: 2021
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Series: International finance discussion papers ; number 1311 (March 2021)
    Subjects: cointegration; consumers' expenditure; dynamic specification; equilibrium correction; forecasting; machine learning; model evaluation; money demand; PcGive; structural breaks
    Scope: 1 Online-Ressource (circa 50 Seiten)
  25. Assessing the mid-term growth outlook for the Indian economy
    Author: Barker, Jamie; Herrala, Risto
    Published: [2021]
    Publisher:  Bank of Finland, BOFIT – Institute for Emerging Economies, Helsinki

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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 123456789/18005
    hdl: 10419/251709
    Series: BOFIT policy brief ; 2021, no. 8
    Subjects: Indian economy; forecasting; GDP growth
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen