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Verfasst von:Schick, Manuel [VerfasserIn]   i
Titel:Real-time nowcasting Growth-at-Risk using the Survey of Professional Forecasters
Verf.angabe:Manuel Schick
Verlagsort:Heidelberg
Verlag:Heidelberg University, Department of Economics
E-Jahr:2024
Jahr:25 Jun. 2024
Umfang:1 Online-Ressource (51 Seiten)
Illustrationen:Diagramme
Gesamttitel/Reihe:AWI discussion paper series ; no. 750 (June 2024)
Abstract:This paper investigates nowcasting Growth-at-Risk (GaR) using consensus forecasts from the Survey of Professional Forecasters (SPF) in the US. Incorporating SPF consensus forecasts into the conditional mean of an AR-GARCH type model significantly enhances nowcasting accuracy for GaR and the conditional density of GDP growth. While there is strong time variation in both the lower and upper quantiles of the GDP growth distribution, integrating skewness and fat tails into the model does not improve forecasting accuracy. By accounting for changes in the conditional mean of the GDP growth distribution over time, these findings highlight the value of SPF consensus projections for GaR nowcasting.
DOI:doi:10.11588/heidok.00034995
URL:kostenfrei: Verlag: https://archiv.ub.uni-heidelberg.de/volltextserver/34995/7/Schick_dp750_2024.pdf
 kostenfrei: Resolving-System: https://nbn-resolving.org/urn:nbn:de:bsz:16-heidok-349955
 kostenfrei: Resolving-System: https://doi.org/10.11588/heidok.00034995
 kostenfrei: Resolving-System: https://hdl.handle.net/10419/301190
 DOI: https://doi.org/10.11588/heidok.00034995
 10419/301190
URN:urn:nbn:de:bsz:16-heidok-349955
Datenträger:Online-Ressource
Sprache:eng
Sach-SW:Growth-at-Risk
 GARCH
 Survey of Professional Forecasters
Form-SW:Graue Literatur
K10plus-PPN:1895452252
Verknüpfungen:→ Übergeordnete Aufnahme
 
 
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