| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15114 |
| DP15114 Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis | |
| Claudia Foroni; Massimiliano Marcellino; Dalibor Stevanovic | |
| 发表日期 | 2020-07-30 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across different models, extending the model specification by adding MA terms, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track by a specific form of intercept correction. Among all these methods, adjusting the original nowcasts and forecasts by an amount similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best results for the US, notwithstanding the different source and characteristics of the financial crisis. In particular, the adjusted growth nowcasts for 2020Q1 get closer to the actual value, and the adjusted forecasts based on alternative indicators become much more similar, all unfortunately indicating a much slower recovery than without adjustment and very persistent negative effects on trend growth. Similar findings emerge also for the other G7 countries. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| URL | https://cepr.org/publications/dp15114 |
| 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/544072 |
| 推荐引用方式 GB/T 7714 | Claudia Foroni,Massimiliano Marcellino,Dalibor Stevanovic. DP15114 Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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