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on Forecasting |
| By: | Laurent Ferrara (Centre d'Economie de la Sorbonne et Banque de France); Dominique Guegan (Paris School of Economics - Centre d'Economie de la Sorbonne); Patrick Rakotomarolahy (Centre d'Economie de la Sorbonne) |
| Abstract: | This papier formalizes the process of forecasting unbalanced monthly data sets in order to obtain robust nowcasts and forecasts of quarterly GDP growth rate through a semi-parametric modelling. This innovative approach lies on the use on non-parametric methods, based on nearest neighbors and on radial basis function approaches, ti forecast the monthly variables involved in the parametric modelling of GDP using bridge equations. A real-time experience is carried out on Euro area vintage data in order to anticipate, with an advance ranging from six to one months, the GDP flash estimate for the whole zone. |
| Keywords: | Euro area GDP, real-time nowcasting, forescasting, non-parametric methods. |
| JEL: | C22 C53 E32 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:b08082&r=for |
| By: | Rangan Gupta (University of Pretoria); Stephen M. Miller (University of Connecticut and University of Nevada, Las Vegas) |
| Abstract: | We examine the time-series relationship between housing prices in Los Angeles, Las Vegas, and Phoenix. First, temporal Granger causality tests reveal that Los Angeles housing prices cause housing prices in Las Vegas (directly) and Phoenix (indirectly). In addition, Las Vegas housing prices cause housing prices in Phoenix. Los Angeles housing prices prove exogenous in a temporal sense and Phoenix housing prices do not cause prices in the other two markets. Second, we calculate out-of-sample forecasts in each market, using various vector autoregessive (VAR) and vector error-correction (VEC) models, as well as Bayesian, spatial, and causality versions of these models with various priors. Different specifications provide superior forecasts in the different cities. Finally, we consider the ability of theses time-series models to provide accurate out-of-sample predictions of turning points in housing prices that occurred in 2006:Q4. Recursive forecasts, where the sample is updated each quarter, provide reasonably good forecasts of turning points. |
| Keywords: | Ripple effect, housing prices, forecasting |
| JEL: | C32 R31 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:uct:uconnp:2009-05&r=for |
| By: | D'Agostino, Antonello (Central Bank and Financial Services Authority of Ireland); McQuinn, Kieran (Central Bank and Financial Services Authority of Ireland); O' Reilly, Gerard (Central Bank and Financial Services Authority of Ireland) |
| Abstract: | While increased attention has, of late, focussed on models of house prices, few,if any, studies have examined house prices from a purely forecasting perspective. However, the need for accurate and timely forecasts of house prices has grown as the rate of house price inflation is more and more important to policy discussions such as those governing decisions on inflation. This is further underscored with the development of financial markets products based on houseprice index. In this paper, we propose that a simple univariate moving average (MA) model can provide optimal forecasts of Irish house price inflation when compared with a suite of standard forecasting and structural house price models. This result echoes similar recent findings for forecasts of US inflation rate. |
| Date: | 2008–06 |
| URL: | http://d.repec.org/n?u=RePEc:cbi:wpaper:3/rt/08&r=for |
| By: | Andersson, Magnus (European Central Bank); D'Agostino, Antonello (Central Bank and Financial Services Authority of Ireland) |
| Abstract: | This paper evaluates how well sectoral stock prices forecast future economic activity compared to traditional predictors such as the term spread, dividend yield, exchange rates and money growth. The study is applied to euro area financial asset prices and real economic growth, covering the period 1973 to 2006. The paper finds that the term spread is the best predictor of future growth in the period leading up to the introduction of Monetary Union. After 1999, however, sectoral stock prices in general provide more accurate forecasts than traditional asset price measures across all forecast horizons. |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:cbi:wpaper:2/rt/08&r=for |
| By: | D'Agostino, Antonello (Central Bank and Financial Services Authority of Ireland); McQuinn, Kieran (Central Bank and Financial Services Authority of Ireland); O'Brien, Derry (Central Bank and Financial Services Authority of Ireland) |
| Abstract: | In this paper we present "now-casts" of Irish GDP using timely data from a panel data set of 41 different variables. The approach seeks to resolve two issues which commonly confront forecastors of GDP - how to parsimoniously avail of the many different series, which can potentially influence GDP and how to reconcile the within-quarterly release of many of these series with the quarterly estimates of GDP? The now-casts in this paper are generated by firstly, using dynamic factor analysis to extract a common factor from the panel data set and, secondly, through use of bridging equations to relate the monthly data to the quarterly GDP estimates. We conduct an out-of-sample forecasting simulation exercise, where the results of the now-casting exercise are compared with those of a standard benchmark model. |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:cbi:wpaper:9/rt/08&r=for |
| By: | Michael B. Devereux (University of British Columbia, CEPR, and NBER); Gregor W. Smith (Queen's University); James Yetman (Bank for International Settlements) |
| Abstract: | Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciations across countries. The striking lack of evidence for this link — the consumption/real exchange-rate anomaly or Backus-Smith puzzle — has prompted research on risk-sharing indicators with incomplete asset markets. That research generally implies that the association holds in forecasts, rather than realizations. Using professional forecasts for 28 countries for 1990-2008 we find no such association, thus deepening the puzzle. Independent evidence on the weak link between forecasts for consumption and real interest rates suggests that the presence of ‘hand-to-mouth’ consumers may help to explain the evidence. |
| Keywords: | international risk-sharing, Backus-Smith puzzle |
| JEL: | F41 F47 F37 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:qed:wpaper:1195&r=for |