| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9334 |
| DP9334 Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility | |
| Massimiliano Marcellino; Fabrizio Venditti | |
| 发表日期 | 2013-02-10 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both the latent common factor and the idiosyncratic components. We take a Bayesian perspective and derive a Gibbs sampler to obtain the posterior density of the model parameters. This new tool is then used to investigate business cycle dynamics and for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we use the model to evaluate the impact of macroeconomic releases on point and density forecast accuracy and on the width of forecast intervals. Second, we show how our setup allows to make a probabilistic assessment of the contribution of releases to forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy. In line with findings in the Bayesian Vector Autoregressions (BVAR) literature we find that stochastic volatility contributes to an improvement in density forecast accuracy. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycle Forecasting Mixed-frequency data Nonlinear models Nowcasting |
| URL | https://cepr.org/publications/dp9334 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538170 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Fabrizio Venditti. DP9334 Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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