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Boris Kozyrev

Boris Kozyrev
Current Position

since 9/21

Economist in the Department of Macroeconomics

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

Research Interests
  • macroeconomics
  • forecasting
  • applied econometrics

Boris Kozyrev joined the Department of Macroeconomics as a doctoral student in September 2021. His research focuses on macroeconomics, forecasting, and applied econometrics.

Boris Kozyrev received his bachelor's degree from Lomonosov Moscow State University and his master's degree from Toulouse School of Economics. Prior to joining IWH, he was a Junior Researcher at Russian Presidential Academy of National Economy and Public Administration.

Your contact

Boris Kozyrev
Boris Kozyrev
Mitglied - Department Macroeconomics
Send Message +49 345 7753-865

Publications

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Working Papers

cover_DP_2024-06.jpg

Forecasting Economic Activity Using a Neural Network in Uncertain Times: Monte Carlo Evidence and Application to the German GDP

Oliver Holtemöller Boris Kozyrev

in: IWH Discussion Papers, No. 6, 2024

Abstract

In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN). We provide evidence from Monte Carlo simulations for the relative forecast performance of GRNN depending on the data-generating process. We show that GRNN outperforms an autoregressive benchmark model in many practically relevant cases. Then, we applied GRNN to forecast quarterly German GDP growth by extending univariate GRNN to multivariate and mixed-frequency settings. We could distinguish between “normal” times and situations where the time-series behavior is very different from “normal” times such as during the COVID-19 recession and recovery. GRNN was superior in terms of root mean forecast errors compared to an autoregressive model and to more sophisticated approaches such as dynamic factor models if applied appropriately.

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