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Macroeconomic Variables (macroeconomic + variable)
Selected AbstractsFORECASTING AUSTRALIAN MACROECONOMIC VARIABLES USING A LARGE DATASETAUSTRALIAN ECONOMIC PAPERS, Issue 1 2010SARANTIS TSIAPLIAS This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite forecasts, and forecasts derived from individual forecasting models. The results suggest that diffusion index forecasts tend to improve on the benchmark AR forecasts. We also observe that weighted factors tend to produce better forecasts than their unweighted counterparts. We find, however, that the size of the forecasting improvement is less marked than previous research, with the diffusion index forecasts typically producing mean square errors of a similar magnitude to the VAR and BVAR approaches. [source] The term structure of interest rates and the Mexican economyCONTEMPORARY ECONOMIC POLICY, Issue 3 2000JG. Gonzalez Can the yield spread, which has been found to predict with surprising accuracy the movement of key macroeconomic variables of developed countries, also predict such variables for a developing country experiencing economic turmoil? This article presents empirical results that suggest significant forecasting ability for the yield spread for segments of the Mexican economy during the 1995,1997 period of economic volatility. The actual and predicted variable changes sometimes conflict with those experienced by developed countries in part because of the unusually close relationship between the Mexican Treasury and the Banco de México. Consequently, analysts and policy officials may exploit the forecast potential of the yield spread, but only in the context of evolving institutional considerations. [source] Twin deficits: squaring theory, evidence and common senseECONOMIC POLICY, Issue 48 2006Giancarlo Corsetti SUMMARY Budget deficits and current accounts OPENNESS AND FISCAL PERSISTENCE Simple accounting suggests that shocks to the government budget move the current account in the same direction, and this ,twin deficits' intuition leads many observers to call for fiscal consolidation in the US as a necessary measure to reduce the large external imbalance of this country. The response of other macroeconomic variables to budget developments, however, has important implications for ,twin deficits' and for this policy prescription. Focusing on the international transmission of fiscal policy shocks via terms of trade changes, we show that the likelihood and magnitude of twin deficits increases with the degree of openness of an economy, and decreases with the persistence of fiscal shocks. We take this insight to the data and investigate the transmission of fiscal shocks in a vector autoregression (VAR) model estimated for Australia, Canada, the UK and the US. We find that in less open countries the external impact of shocks to either government spending or budget deficits is limited, while private investment responds in line with our theoretical prediction. These results suggest that a fiscal retrenchment in the US may have a limited impact on its current external deficit. , Giancarlo Corsetti and Gernot J. Müller [source] Takeover activity in Australia: endogenous and exogenous influencesACCOUNTING & FINANCE, Issue 3 2005Frank Finn G34 Abstract The present paper analyses the population of takeover bids for listed Australian companies using quarterly data over a 25-year period to re-examine the predictability of takeover activity and to determine if there is a flow on impact on macroeconomic variables. We examine whether takeover activity: (i) is endogenous; that is, determined by own activity; (ii) is jointly determined by macroeconomic and capital market variables; and (iii) has an exogenous spillover impact across the economy. We find that stock prices and takeover activity share a long-term common trend, the relative success of takeover bids is independent of sharemarket activity, and conclude that aggregate takeover activity is driven by fundamental economic factors rather than by speculative activity. [source] OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*INTERNATIONAL ECONOMIC REVIEW, Issue 4 2005Graham Elliott This article proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme performs well for a variety of macroeconomic variables. Monte Carlo simulations shed light on the type of data-generating processes for which the proposed combination method can be expected to perform better than a range of alternative combination schemes. Finally, we show how time variations in the combination weights arise when the target variable and the predictors share a common factor structure driven by a hidden Markov process. [source] Forecasting key macroeconomic variables from a large number of predictors: a state space approachJOURNAL OF FORECASTING, Issue 4 2010Arvid Raknerud Abstract We use state space methods to estimate a large dynamic factor model for the Norwegian economy involving 93 variables for 1978Q2,2005Q4. The model is used to obtain forecasts for 22 key variables that can be derived from the original variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting properties of the dynamic factor model with those of univariate benchmark models. We find that there is an overall gain in using the dynamic factor model, but that the gain is notable only for a few of the key variables. Copyright © 2009 John Wiley & Sons, Ltd. [source] Factor forecasts for the UKJOURNAL OF FORECASTING, Issue 4 2005Michael J. Artis Abstract Data are now readily available for a very large number of macroeconomic variables that are potentially useful when forecasting. We argue that recent developments in the theory of dynamic factor models enable such large data sets to be summarized by relatively few estimated factors, which can then be used to improve forecast accuracy. In this paper we construct a large macroeconomic data set for the UK, with about 80 variables, model it using a dynamic factor model, and compare the resulting forecasts with those from a set of standard time-series models. We find that just six factors are sufficient to explain 50% of the variability of all the variables in the data set. These factors, which can be shown to be related to key variables in the economy, and their use leads to considerable improvements upon standard time-series benchmarks in terms of forecasting performance. Copyright © 2005 John Wiley & Sons, Ltd. [source] BBVA-ARIES: a forecasting and simulation model for EMUJOURNAL OF FORECASTING, Issue 5 2003Fernando C. Ballabriga Abstract This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU.,Copyright © 2003 John Wiley & Sons, Ltd. [source] Choosing among competing econometric forecasts: Regression-based forecast combination using model selectionJOURNAL OF FORECASTING, Issue 6 2001Norman R. Swanson Abstract Forecast combination based on a model selection approach is discussed and evaluated. In addition, a combination approach based on ex ante predictive ability is outlined. The model selection approach which we examine is based on the use of Schwarz (SIC) or the Akaike (AIC) Information Criteria. Monte Carlo experiments based on combination forecasts constructed using possibly (misspecified) models suggest that the SIC offers a potentially useful combination approach, and that further investigation is warranted. For example, combination forecasts from a simple averaging approach MSE-dominate SIC combination forecasts less than 25% of the time in most cases, while other ,standard' combination approaches fare even worse. Alternative combination approaches are also compared by conducting forecasting experiments using nine US macroeconomic variables. In particular, artificial neural networks (ANN), linear models, and professional forecasts are used to form real-time forecasts of the variables, and it is shown via a series of experiments that SIC, t -statistic, and averaging combination approaches dominate various other combination approaches. An additional finding is that while ANN models may not MSE-dominate simpler linear models, combinations of forecasts from these two models outperform either individual forecast, for a subset of the economic variables examined. Copyright © 2001 John Wiley & Sons, Ltd. [source] Understanding foreign direct investment in the southern African development community: an analysis based on project-level dataAGRICULTURAL ECONOMICS, Issue 3-4 2010Nomathemba Mhlanga Foreign direct investment (FDI); FDI determinants; Africa Abstract This article uses a uniquely rich project-level data set to analyze determinants and trends of foreign direct investment (FDI) flows to the Southern African Development Community region. We control for the source of the investment, the sector in which the investment is undertaken, and the investment type in addition to project size. The results indicate market size to have a positive impact on FDI flows under all specifications,a result consistent with earlier studies. Other variables are unstable depending on specification and the subset of the data used. Furthermore, we find no significant differences in factors that drive FDI flows by source country, while greenfield investments are seen to respond more to the growth potential of the market relative to other forms of investment. In general, we find macroeconomic variables to be poor at explaining project-level FDI in the region. The descriptive analysis of the data points us more in the direction of the gravity model, with factors such as colonial ties and proximity of the investing country appearing to matter. Limited flows and minimal sectoral diversity call for enhanced investment promotion and collaborative efforts among member states. [source] Data Revisions Are Not Well BehavedJOURNAL OF MONEY, CREDIT AND BANKING, Issue 2-3 2008AN ARUOBA, S. BORA forecasting; news and noise; real-time data; NIPA variables We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased. We also find that the revisions are quite large compared to the original variables and they are predictable using the information set at the time of the initial announcement, which means that the initial announcements of statistical agencies are not rational forecasts. [source] On the influence of oil prices on economic activity and other macroeconomic and financial variables,OPEC ENERGY REVIEW, Issue 4 2008François Lescaroux The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oil-importing and oil-exporting countries. Both short-run and long-run interactions are analysed through the implementation of Granger-causality tests, evaluation of cross correlations between the cyclical components of the series in order to identify lead/lag relationships and cointegration analysis. Our results highlight the existence of various relationships between oil prices and macroeconomic variables and, especially, an important link between oil and share prices on the short run. Turning to the long run, numerous long-term relationships are detected, the Granger-causality generally running from oil prices to the other variables. An important conclusion is relating to the key role played by the oil market on stock markets. [source] A Vector Autoregressive Analysis Of An Oil-Dependent Emerging Economy , NigeriaOPEC ENERGY REVIEW, Issue 4 2000O. Felix Ayadi This paper models the interrelationship among a variety of macroeconomic variables representing the financial, as well as the energy, sectors of the Nigerian economy from 1975 through 1994. The attempt is to investigate the impact of the energy sector on the functioning of the Nigerian economy, including the financial markets. The investigation is explored within a vector autoregressive (VAR) system. The results reveal that the energy sector exerts a significant influence on the Nigerian economy by acting as a prime mover. More importantly, Nigeria seems to find itself in a vicious circle, because of its inability to exercise control over the price of its main export and its imports. Thus, the strength and autonomy exhibited by Nigerias macroeconomic managers during the oil boom era appears to have been barren. [source] Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy,OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 5 2005Andrew Mountford Abstract This paper adapts Uhlig's [Journal of Monetary Economics (2005) forthcoming] sign restriction identification methodology to investigate the effects of UK monetary policy using a structural vector autoregression (VAR). It shows that shocks which can reasonably be described as monetary policy shocks have played only a small role in the total variation of UK monetary and macroeconomic variables. Most of the variation in UK monetary variables has been due to their systematic reaction to other macroeconomic shocks, namely non-monetary aggregate demand, aggregate supply, and oil price shocks. We also find, without imposing any long run identifying restrictions, that aggregate supply shocks have permanent effects on output. [source] The Millennium Survey: How Economists View the U.S. Economy in the 21st CenturyAMERICAN JOURNAL OF ECONOMICS AND SOCIOLOGY, Issue 1 2000Frederick L. Pryor This essay presents the results of a survey of AEA members on how they expect the U.S. economy to evolve in the next 50 years. More specifically, respondents were asked about changes in a variety of macroeconomic variables and whether such changes would lead to major changes in the economic system or important economic institutions. For the next quarter century, for instance, the respondents foresee the greatest deviation from current trends occurring with regard to growth of per capita GDP, volatility of the financial system, and globalization. They also predict that changes in the economic system will most likely come about from the impact of increasing globalization, increasing inequality of income, and increasing financial instability. [source] Some Preliminary Findings on Hong Kong Business CyclesPACIFIC ECONOMIC REVIEW, Issue 1 2001Chi Fai Leung This paper presents some preliminary quantitative findings on the characteristics of business cycles in Hong Kong. The recently developed "approximate bandpass filter" is used to extract the fluctuations at business cycle frequencies (8 to 32 quarters) of macroeconomic time series. Based on the filtered time series, the paper identifies the cyclical turning points, describes the pattern of output fluctuations, and examines the co-movement of various macroeconomic variables. [source] DO INTERNATIONAL MONETARY FUND PROGRAMS IMPACT ON THE SACRIFICE RATIO?THE DEVELOPING ECONOMIES, Issue 2 2009Winston R. MOORE E31; E32; E61; C22 From time to time, the International Monetary Fund (IMF) makes resources available to member states for short-term balance-of-payments support under an agreed arrangement know as a program. Most IMF programs include quantitative performance criteria for key macroeconomic variables, which borrowers must meet to obtain Fund resources. Standard open economy models predict that if policymakers are able to credibly commit to reducing inflation, rational economic agents will lower their expectations of inflation and, therefore, the trade-off between inflation and output will fall. The present study tests whether IMF programs, by lending credibility to a country's adjustment program, influence the inflation,output trade-off. The results from the study suggest that IMF programs do not significantly influence the inflation,output trade-off. This finding is robust to changes in the estimation approach, the method used to obtain the output gap estimates and outliers. [source] THE YEN-DOLLAR EXCHANGE RATE AND MALAYSIAN MACROECONOMIC DYNAMICSTHE DEVELOPING ECONOMIES, Issue 3 2007Mansor H. IBRAHIM E30; F33; F40 This paper empirically assesses the effect of the yen-dollar exchange rate on selected macroeconomic variables, namely, real output, price level, and money supply, for Malaysia. The results, which are based on a vector autoregressive framework, suggest that variations in the yen-dollar rate can have significant influences on Malaysia's macroeconomic variables. More specifically, the yen-dollar depreciation leads to contraction in real GDP and money supply. These results are fairly robust to alternative model specifications. We believe that, apart from providing important insights into the interactions between the yen-dollar rate and domestic macroeconomic variables, our results contribute to the debate on choice of exchange rate regimes for Malaysia. [source] Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methodsTHE ECONOMETRICS JOURNAL, Issue 1 2000Sylvia Kaufmann A Markov switching common factor is used to drive a dynamic factor model for important macroeconomic variables in eight countries. Bayesian estimation of the model is based on Markov chain Monte Carlo simulation methods which yield inferences about the unobservable path of the common factor, the latent variable of the state process and all model parameters. Additionally, simulation based filtering provides us with samples from the prediction density that can be used for model diagnostics and specification tests. The mean posterior state probabilities are used to date business cycle turning points that follow quite closely previous datings reported in the literature. Moreover, we test the Markov switching against a no-switching specification by means of a Bayes factor. The evidence proves to be quite favorable for the Markov switching model. [source] It's the Economy Stupid: Macroeconomics and Federal Elections in AustraliaTHE ECONOMIC RECORD, Issue 235 2000LISA CAMERON In this paper we examine the impact of macroeconomic conditions on Federal electoral performance in 20th-century Australia. We find that the electorate penalizes a government for high inflation and high unemployment relative to trend. Real GDP growth and real wage growth were not found to have a systematic relationship with incumbent vote share at the Federal level. We also examine the voteshare of the Federal incumbent in three electorates: the safe Liberal seat of Kooyong, the safe Labor seat of Melbourne Pans, and the swinging seat of Latrobe. We find some evidence that unemployment affects electoral outcomes in the swinging seat, but no macroeconomic variables affect outcomes in the safe seats. [source] Momentum, Business Cycle, and Time-varying Expected ReturnsTHE JOURNAL OF FINANCE, Issue 2 2002Tarun Chordia A growing number of researchers argue that time-series patterns in returns are due to investor irrationality and thus can be translated into abnormal profits. Continuation of short-term returns or momentum is one such pattern that has defied any rational explanation and is at odds with market efficiency. This paper shows that profits to momentum strategies can be explained by a set of lagged macroeconomic variables and payoffs to momentum strategies disappear once stock returns are adjusted for their predictability based on these macroeconomic variables. Our results provide a possible role for time-varying expected returns as an explanation for momentum payoffs. [source] Interdependencies between agricultural commodity futures prices on the LIFFETHE JOURNAL OF FUTURES MARKETS, Issue 3 2002P. J. Dawson Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris and Urrutia (1996) found significant linkages between rollover prices of six related agricultural commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using Clark indices. Results show that there are no interdependencies between any two prices; price discovery of one contract provides no information about others. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 269,280, 2002 [source] MACRO-FINANCE MODELS OF INTEREST RATES AND THE ECONOMYTHE MANCHESTER SCHOOL, Issue 2010GLENN D. RUDEBUSCH During the past decade, much new research has combined elements of finance, monetary economics and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary macro-finance term structure research. The first adds macroeconomic variables and structure to a canonical arbitrage-free finance representation of the yield curve. The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. The third develops a new class of arbitrage-free term structure models that are empirically tractable and well suited to macro-finance investigations. [source] Evaluating the Relative Impact of Fiscal Incentives and Trade Policies on the Returns to Manufacturing in Taiwan, 1955,1995,ASIAN ECONOMIC JOURNAL, Issue 1 2007Glenn P. Jenkins H25; F13; O12 In the present paper, an integrated cash flow model is developed to examine the relative impact of tax incentives, financial subsidies, and macroeconomic variables on the profitability of industrial investments. It allows for the variables in the model to interact with each other. An application of the model is carried out for Taiwan, which has implemented a variety of fiscal incentives over the past 40 years. The principal policy conclusion is that trade and macroeconomic policies are much more important than income tax incentives or subsidized finance policies in determining the success of Taiwan's industrialization process. The effects of all of the fiscal incentives are found to be much smaller than those of the trade policies or the fundamental trends in macroeconomic variables such as the movement of the real exchange rate and the real wage rate. [source] Updating an input,output table for use in policy analysisAUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 4 2000Benjamin L. Buetre The long lag in the publication of input,output tables is one of the central constraints in applied general equilibrium analysis. Model builders often use out-dated databases leading to analyses that are inappropriate for the policy questions being addressed. This occurs particularly when there exists a significant structural change in the economy. We discuss the updating of an input,output table of the Philippines by simulation technique. A detailed computable general equilibrium model of the Philippine economy with comparative static and forecasting capabilities is utilised. The data are drawn from known percentage changes of macroeconomic variables such as those in the national accounts and structural variables such as employment and output by industry. [source] | |||||||||||||||||||||||||||||||