nep-for New Economics Papers
on Forecasting
Issue of 2009‒05‒02
seven papers chosen by
Rob J Hyndman
Monash University

  2. Developing a Structured Forecasting and Policy Analysis System to Support Inflation-Forecast Targeting (IFT) By Douglas Laxton; David Rose; Alasdair Scott
  3. Documentation of a Dynamic and Simultaneous Econometric Model of the U.S. Dairy Industry By Bailey, Kenneth
  4. Central Bank Preferences, Distribution Forecasts and Economic Stability in a Small Open-economy By Alessandro Flamini
  5. Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators By Ataman Ozyildirim; Brian Schaitkin; Victor Zarnowitz
  6. The Role of Media for Inflation Forecast Disagreement of Households and Professionals By Thomas Maag; Michael J. Lamla
  7. A managerial economist's forecast for meat consumption in Malaysia: Implications to farmers and investors By Tey, (John) Yeong-Sheng

  1. By: Andrés González Gómez; Lavan Mahadeva; Diego Rodríguez; Luis Eduardo Rojas
    Abstract: If theory-consistent models can ever hope to forecast well and to be useful for policy, they have to relate to data which though rich in information is uncertain, unbalanced and sometimes forecasts from external sources about the future path of other variables. One example from many is financial market data, which can help but only after smoothing out irrelevant short-term volatility. In this paper we propose combining different types of useful but awkward data set with a linearised forward-looking DSGE model through a Kalman Filter fixed-interval smoother to improve the utility of these models as policy tools. We apply this scheme to a model for Colombia.
    Date: 2009–04–21
  2. By: Douglas Laxton; David Rose; Alasdair Scott
    Abstract: This paper presents a basic plan for developing a Forecast and Policy Analysis System designed to support an inflation-forecast targeting regime at a central bank. It includes discussion of the development of data management and reporting processes; the creation of a forecast team and the development of human capital; the implementation of a simple model, plus possible extensions; and the management of regular economic projections. We emphasize that it is better to implement simple models earlier and use them well, rather than wait in an attempt to develop an all-encompassing model.
    Keywords: Inflation , Forecasting models , Data analysis , Databases , Monetary policy , Central banks , Human capital ,
    Date: 2009–03–24
  3. By: Bailey, Kenneth
    Abstract: The objective of this report is to publish a monthly forecasting tool of the U.S. dairy industry. This model forecasts the milk supply as well as the supply and demand for American cheese, Other cheese, butter, nonfat dry milk, and dry whey. Trade is presently exogenous to the model, but can be endogenized at a later date. The principal use of the model will be for forecasting purposes, thus we settled on a monthly frequency for the data. We delve into the complexities of the U.S. dairy industry using rich data sources. Our objective is clearly focused on developing an initial forecasting tool.
    Keywords: Econometric model, U.S. Dairy Industry, Forecasting Model, Agribusiness, Marketing,
    Date: 2009–03
  4. By: Alessandro Flamini (Department of Economics, The University of Sheffield)
    Abstract: This paper relates the central bank's preferences on the inflation index and on the degree of smoothness of the interest rate to the quality of its forecasts and the expected perturbing impact of several shocks. The framework is a Markov jump-linear-quadratic system for optimal policy with model uncertainty in a timeless perspective. Comparing CPI and domestic inflation targeting, the latter implies considerably less variability in the distribution forecast of the economic dynamics. Furthermore, domestic inflation targeting stands out for much less sensitiveness to interest rate smoothing, and for resulting in more expected economic stability. Importantly, domestic inflation targeting allows significantly improving the prediction accuracy of the interest rate behaviour.
    Keywords: Inflation targeting; additive and multiplicative uncertainty; Markov jump linear quadratic systems; small open-economy; optimal monetary policy; central bank preferences
    JEL: E52 E58 F41
    Date: 2009–03
  5. By: Ataman Ozyildirim (The Conference Board); Brian Schaitkin (The Conference Board); Victor Zarnowitz (The Conference Board)
    Abstract: Clusters of cyclical turning points in the coincident indicators help us identify and date Euro Area recessions and recoveries in the past several decades. In the U.S. and some other countries, composite indexes of coincident indicators (CEI) are used to date classical business cycle turning points; also indexes of leading indicators (LEI) are used to help in the difficult task of predicting these turning points. This paper reviews a selection of the available data for monthly and quarterly Euro Area coincident and leading indicators. From these data, we develop composite indexes using methods analogous to those tested in the U.S. CEI and LEI published by The Conference Board. We compare the resulting business cycle chronology with the existing alternatives and evaluate our selection of leading indicators in the context of how well they predict current economic activity and its major fluctuations for the Euro Area.
    Keywords: Business Cycle; Indicators; Leading Index; Times Series; Forecasting
    JEL: E32 C52 C53 C22
    Date: 2008–11
  6. By: Thomas Maag (KOF Swiss Economic Institute, ETH Zurich, Switzerland); Michael J. Lamla (KOF Swiss Economic Institute, ETH Zurich, Switzerland)
    Abstract: This paper investigates the effects of media coverage and macroeconomic con- ditions on inflation forecast disagreement of German households and professional forecasters. We adopt a Bayesian learning model in which media coverage of infla- tion affects forecast disagreement by influencing information sets as well as predictor choice. Our empirical results show that disagreement of households depends on the content of news stories (tone) but is unaffected by reporting intensity (volume) and by the heterogeneity of story content (information entropy). Disagreement of pro- fessionals does not depend on media coverage. With respect to the influence of macroeconomic variables we provide evidence that disagreement of households and professionals primarily depends on the current rate of inflation.
    Keywords: forecast disagreement, inflation expectations, media coverage, Bayesian learning
    JEL: E31 E37 D83
    Date: 2009–04
  7. By: Tey, (John) Yeong-Sheng
    Abstract: In this consumer driven chain, the changes in meat consumption at consumer level indeed provide implication for upstream production. While econometrics based analysis and forecast are hard to be understood and digested by farmers or investors, a simple forecast from the perspectives of managerial economics as laid down in the objective of this study perhaps provide valuable insights on the future movement of meat consumption and demand. By using simple forecasting technique using mathematical model, farmers and investors can expect that poultry is to be continuing its vital role as the main source for meat in the country. This is to be coupled with increasing consumption in beef and mutton. However, it is likely the decreasing trend in pork is to be continued. Alternative pig farming system is identically the main concern in promising consumers food safety, freedom of disease, and a way of reclaiming the joy of eating by growing pig that is environmentally sustainable and socially responsible. The challenge is certain, extra efforts must be contributed to reduce the cost of supply chain amid of the increasing retail price of pork that drives consumers away to seek for cheaper substitution.
    Keywords: Meat; consumption; managerial economics
    JEL: Q11 Q13
    Date: 2009–04–20

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