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Displaying results 1 to 14 of 14.

  1. Where should we go?
    internet searches and tourist arrivals
    Author: Cevik, Serhan
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    The widespread availability of internet search data is a new source of high-frequency information that can potentially improve the precision of macroeconomic forecasting, especially in areas with data constraints. This paper investigates whether... more

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    The widespread availability of internet search data is a new source of high-frequency information that can potentially improve the precision of macroeconomic forecasting, especially in areas with data constraints. This paper investigates whether travel-related online search queries enhance accuracy in the forecasting of tourist arrivals to The Bahamas from the U.S. The results indicate that the forecast model incorporating internet search data provides additional information about tourist flows over a univariate approach using the traditional autoregressive integrated moving average (ARIMA) model and multivariate models with macroeconomic indicators. The Google Trends-augmented model improves predictability of tourist arrivals by about 30 percent compared to the benchmark ARIMA model and more than 20 percent compared to the model extended only with income and relative prices

     
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  2. Deus ex machina?
    a framework for macro forecasting with machine learning
    Author: Bolhuis, Marijn A.; Rayner, Brett
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to... more

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    We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to predict real output growth with lower forecast errors than traditional models. By combining multiple machine learning models into ensembles, we lower forecast errors even further. We also identify measures of variable importance to help improve the transparency of machine learning-based forecasts. Applying the framework to Turkey reduces forecast errors by at least 30 percent relative to traditional models. The framework also better predicts economic volatility, suggesting that machine learning techniques could be an important part of the macro forecasting toolkit of many countries

     
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  3. Financial frictions and firm informality
    a general equilibrium perspective
    Author: Franjo, Luis; Pouokam, Nathalie; Turino, Francesco
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that... more

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    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that financial deepening leads to a drop in the size of the informal sector (from 37 percent to 22 percent of official GDP), to an increase in measured TFP (by 4 percent), to an increase in official GDP (by 27 percent), to a decrease in tax evasion (by 17 percent) and to an increase in fiscal revenues (by 15 percent). When assessing the response of this policy at different levels of financial development, we find a non-linear relationship between the credit-to-GDP ratio on the one hand, and either the size of the informal economy, or GDP per capita on the other hand. We test these features with cross-country data and find evidence in favor of both types of non-linearity. We also investigate changes in the income tax progressitivity as an alternative policy and find it to be more effective in countries with a medium to high level of financial markets development

     
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  4. Optimal simple objectives for monetary policy when banks matter
    Author: Laureys, Lien; Meeks, Roland; Wanengkirtyo, Boromeus
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability.... more

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    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability. We show that a flexible inflation targeting approach that places weight on stabilizing inflation, a measure of resource utilization, and a financial variable produces welfare benefits that are almost indistinguishable from fully-optimal Ramsey policy. The macro-financial trade-off in our estimated model of the euro area turns out to be modest, implying that the effects of financial frictions can be ameliorated at little cost in terms of inflation. A range of different financial objectives and policy preferences lead to similar conclusions

     
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  5. Monetary policy surprises and inflation expectation dispersion
    Author: Grigoli, Francesco; Gruss, Bertrand; Lizarazo, Sandra
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the... more

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    Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the United States, we calculate monetary policy surprises of individual analysts as the unexpected changes in the federal funds rate before the meetings of the Federal Reserve Board. We then assess the effect of monetary policy surprises on the dispersion of inflation expectations, a proxy for the extent of anchoring, which is based on the same analysts' inflation projections submit-ted after the Fed meetings. With an identification strategy that hinges on a tight window around the Fed meetings, we find that monetary policy surprises lead to an increase in the dispersion of inflation expectations up to nine months after the policy meeting. We rationalize these results with a partial equilibrium model that features rational expectations and sticky information. When we allow the degree of information rigidity to depend on the realization of firm-specific shocks, the theoretical results are qualitatively consistent and quantitatively close to the empirical evidence

     
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  6. Investor sentiment, sovereign debt mispricing, and economic outcomes
    Author: Al-Amine, Ramzy; Willems, Tim
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We find that countries which are able to borrow at spreads that seem low given fundamentals (for example because investors take a bullish view on a country's future), are more likely to develop economic difficulties later on. We obtain this result... more

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    We find that countries which are able to borrow at spreads that seem low given fundamentals (for example because investors take a bullish view on a country's future), are more likely to develop economic difficulties later on. We obtain this result through a two-stage procedure, where a first regression links sovereign spreads to fundamentals, after which residuals from this regression are deployed in a second stage to assess their impact on future outcomes (real GDP growth and the occurrence of fiscal crises). We confirm the relevance of past sovereign debt mispricing in several out-of-sample exercises, where they reduce the RMSE of real GDP growth forecasts by as much as 15 percent. This provides strong support for theories of sentiment affecting the business cycle. Our findings also suggest that countries shouldn't solely rely on spread levels when determining their fiscal strategy; underlying fundamentals should inform policy as well, since historical relationships between spreads and fundamentals often continue to apply in the medium-to-long run

     
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  7. Three essays on volatility forecasting and forecast evaluation
    Author: Kleen, Onno
    Published: 2020
    Publisher:  Universitätsbibliothek Heidelberg, Heidelberg

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    Source: Union catalogues
    Contributor: Conrad, Christian (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Economic forecasting; forecast evaluation; volatility; portfolio analysis; GARCH-MIDAS; low-volatility anomaly
    Scope: 1 Online-Ressource (iii, 157 Seiten), Diagramme
    Notes:

    Betreuer: Christian Conrad

    Freie Schlagwörter: Economic forecasting, forecast evaluation, volatility, portfolio analysis, GARCH-MIDAS, low-volatility anomaly

    Dissertation, Ruprecht-Karls-Universit ̈at Heidelberg, 2020
  8. Quantitative Szenarien zur Bevölkerungs- und Wirtschaftsentwicklung in Deutschland bis zum Jahr 2000.
    Author: Görzig, Bernd; Gornig, Martin; Schulz, Erika
    Published: 2020
    Publisher:  Duncker & Humblot, Berlin

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    Content information
  9. Optimal simple objectives for monetary policy when banks matter
    Author: Laureys, Lien; Meeks, Roland; Wanengkirtyo, Boromeus
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability.... more

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    We reconsider the design of welfare-optimal monetary policy when financing frictions impair the supply of bank credit, and when the objectives set for monetary policy must be simple enough to be implementable and allow for effective accountability. We show that a flexible inflation targeting approach that places weight on stabilizing inflation, a measure of resource utilization, and a financial variable produces welfare benefits that are almost indistinguishable from fully-optimal Ramsey policy. The macro-financial trade-off in our estimated model of the euro area turns out to be modest, implying that the effects of financial frictions can be ameliorated at little cost in terms of inflation. A range of different financial objectives and policy preferences lead to similar conclusions

     
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  10. Monetary policy surprises and inflation expectation dispersion
    Author: Grigoli, Francesco; Gruss, Bertrand; Lizarazo, Sandra
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the... more

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    Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the United States, we calculate monetary policy surprises of individual analysts as the unexpected changes in the federal funds rate before the meetings of the Federal Reserve Board. We then assess the effect of monetary policy surprises on the dispersion of inflation expectations, a proxy for the extent of anchoring, which is based on the same analysts' inflation projections submit-ted after the Fed meetings. With an identification strategy that hinges on a tight window around the Fed meetings, we find that monetary policy surprises lead to an increase in the dispersion of inflation expectations up to nine months after the policy meeting. We rationalize these results with a partial equilibrium model that features rational expectations and sticky information. When we allow the degree of information rigidity to depend on the realization of firm-specific shocks, the theoretical results are qualitatively consistent and quantitatively close to the empirical evidence

     
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  11. Deus ex machina?
    a framework for macro forecasting with machine learning
    Author: Bolhuis, Marijn A.; Rayner, Brett
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to... more

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    We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to predict real output growth with lower forecast errors than traditional models. By combining multiple machine learning models into ensembles, we lower forecast errors even further. We also identify measures of variable importance to help improve the transparency of machine learning-based forecasts. Applying the framework to Turkey reduces forecast errors by at least 30 percent relative to traditional models. The framework also better predicts economic volatility, suggesting that machine learning techniques could be an important part of the macro forecasting toolkit of many countries

     
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  12. Investor sentiment, sovereign debt mispricing, and economic outcomes
    Author: Al-Amine, Ramzy; Willems, Tim
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    We find that countries which are able to borrow at spreads that seem low given fundamentals (for example because investors take a bullish view on a country's future), are more likely to develop economic difficulties later on. We obtain this result... more

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    We find that countries which are able to borrow at spreads that seem low given fundamentals (for example because investors take a bullish view on a country's future), are more likely to develop economic difficulties later on. We obtain this result through a two-stage procedure, where a first regression links sovereign spreads to fundamentals, after which residuals from this regression are deployed in a second stage to assess their impact on future outcomes (real GDP growth and the occurrence of fiscal crises). We confirm the relevance of past sovereign debt mispricing in several out-of-sample exercises, where they reduce the RMSE of real GDP growth forecasts by as much as 15 percent. This provides strong support for theories of sentiment affecting the business cycle. Our findings also suggest that countries shouldn't solely rely on spread levels when determining their fiscal strategy; underlying fundamentals should inform policy as well, since historical relationships between spreads and fundamentals often continue to apply in the medium-to-long run

     
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  13. Financial frictions and firm informality
    a general equilibrium perspective
    Author: Franjo, Luis; Pouokam, Nathalie; Turino, Francesco
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that... more

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    In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that financial deepening leads to a drop in the size of the informal sector (from 37 percent to 22 percent of official GDP), to an increase in measured TFP (by 4 percent), to an increase in official GDP (by 27 percent), to a decrease in tax evasion (by 17 percent) and to an increase in fiscal revenues (by 15 percent). When assessing the response of this policy at different levels of financial development, we find a non-linear relationship between the credit-to-GDP ratio on the one hand, and either the size of the informal economy, or GDP per capita on the other hand. We test these features with cross-country data and find evidence in favor of both types of non-linearity. We also investigate changes in the income tax progressitivity as an alternative policy and find it to be more effective in countries with a medium to high level of financial markets development

     
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  14. Where should we go?
    internet searches and tourist arrivals
    Author: Cevik, Serhan
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    The widespread availability of internet search data is a new source of high-frequency information that can potentially improve the precision of macroeconomic forecasting, especially in areas with data constraints. This paper investigates whether... more

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    The widespread availability of internet search data is a new source of high-frequency information that can potentially improve the precision of macroeconomic forecasting, especially in areas with data constraints. This paper investigates whether travel-related online search queries enhance accuracy in the forecasting of tourist arrivals to The Bahamas from the U.S. The results indicate that the forecast model incorporating internet search data provides additional information about tourist flows over a univariate approach using the traditional autoregressive integrated moving average (ARIMA) model and multivariate models with macroeconomic indicators. The Google Trends-augmented model improves predictability of tourist arrivals by about 30 percent compared to the benchmark ARIMA model and more than 20 percent compared to the model extended only with income and relative prices

     
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