Browsing by Subject "teollisuustuotanto"

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  • Granziera, Eleonora; Sekhposyan, Tatevik (2019)
    International Journal of Forecasting 4 ; October-December
    Also available as Bank of Finland Research Discussion Papers 23/2018.
    The relative performances of forecasting models change over time. This empirical observation raises two questions. First, is the relative performance itself predictable? Second, if so, can it be exploited in order to improve the forecast accuracy? We address these questions by evaluating the predictive abilities of a wide range of economic variables for two key US macroeconomic aggregates, namely industrial production and inflation, relative to simple benchmarks. We find that business cycle indicators, financial conditions, uncertainty and measures of past relative performances are generally useful for explaining the models’ relative forecasting performances. In addition, we conduct a pseudo-real-time forecasting exercise, where we use the information about the conditional performance for model selection and model averaging. The newly proposed strategies deliver sizable improvements over competitive benchmark models and commonly-used combination schemes. The gains are larger when model selection and averaging are based on both financial conditions and past performances measured at the forecast origin date.
  • Granziera, Eleonora; Sekhposyan, Tatevik (2018)
    Bank of Finland Research Discussion Papers 23/2018
    Also in International Journal of Forecasting 35 ; 2019 https://doi.org/10.1016/j.ijforecast.2019.01.010
    The relative performance of forecasting models changes over time. This empirical observation raises two questions: is the relative performance itself predictable? If so, can it be exploited to improve forecast accuracy? We address these questions by evaluating the predictive ability of a wide range of economic variables for two key US macroeconomic aggregates, industrial production and inflation, relative to simple benchmarks. We find that business indicators, financial conditions, uncertainty as well as measures of past relative performance are generally useful for explaining the relative forecasting performance of the models. We further conduct a pseudo-real-time forecasting exercise, where we use the information about the conditional performance for model selection and model averaging. The newly proposed strategies deliver sizable improvements over competitive benchmark models and commonly used combination schemes. Gains are larger when model selection and averaging are based on financial conditions as well as past performance measured at the forecast origin date.
  • Suomen Pankki (2019)
    Euro & talous. Analyysi
    Suomen talouskehitys on hidastumisesta huolimatta jatkunut hyvänä viime vuoden lopulla. Maailmantalouden epävarmuuden lisääntymisen ja euroalueen kasvun hidastumisen vaikutukset Suomen talouteen näyttävät jääneen tähän mennessä rajallisiksi loppuvuonna 2018. Suomen Pankin lyhyen aikavälin ennustemallit viittaavat kasvun jatkuneen Suomessa vuodenvaihteessa. Työmarkkinoiden koheneminen on jatkunut ja inflaatio pysynyt maltillisena.
  • Laine, Olli-Matti (2020)
    Empirical Economics 6 ; December
    This study applies factor-augmented vector autoregressive models to investigate the effect of the European Central Bank’s (ECB) conventional monetary policy on the real economy. More specifically, the study examines how unanticipated changes in the ECB’s policy rate have affected unemployment rate and industrial production. The effect of monetary policy on unemployment rate and industrial production is estimated to be strong and statistically significant using the data from January 1999 to July 2017 or from the pre-crisis period. However, after the beginning of the crisis the responses weaken drastically and become sometimes statistically insignificant, indicating that the effect of the ECB’s conventional monetary policy became weaker after the financial crisis. This finding is extremely interesting because one could presume either weaker or stronger effect based on economic theory.
  • Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard (2020)
    Bank of Finland Research Discussion Papers 11/2020
    We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%.