The IWH Forecasting Dashboard – From Forecasts to Evaluation and Comparison
Katja Heinisch, Christoph Behrens, Jörg Döpke, Alexander Foltas, Ulrich Fritsche, Tim Köhler, Karsten Müller, Johannes Puckelwald, Hannes Reichmayr
IWH Technical Reports,
No. 1,
2023
Abstract
The paper describes the “Halle Institute for Economic Research (IWH) Forecasting Dashboard (ForDas)”. This tool aims at providing, on a non-commercial basis, historical and actual macroeconomic forecast data for the Germany economy to researchers and interested audiences. The database renders it possible to directly compare forecast quality across selected institutions and over time. It is partly based on data collected in the DFG-funded project “Macroeconomic Forecasts in Great Crises”.
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Measuring Market Expectations
Christiane Baumeister
Handbook of Economic Expectations,
November
2022
Abstract
Asset prices are a valuable source of information about financial market participants' expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market's rational assessment of future price and policy developments. This paper reviews empirical approaches for recovering market-based expectations. It starts by laying out the two canonical modeling frameworks that form the backbone for estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium estimates and to identify the most accurate market-based expectation measure. The usefulness of this general approach is illustrated for price expectations in the global oil market. Then, the paper provides an overview of the body of empirical evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that complicate the quest for the best possible market-based expectation measure. Finally, it discusses a number of economic applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock measures.
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Energy Markets and Global Economic Conditions
Christiane Baumeister, Dimitris Korobilis, Thomas K. Lee
Review of Economics and Statistics,
No. 4,
2022
Abstract
We evaluate alternative indicators of global economic activity and other market funda-mentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. World industrial production is one of the most useful indicators. However, by combining measures from several different sources we can do even better. Our analysis results in a new index of global economic conditions and measures for assessing future energy demand and oil price pressures. We illustrate their usefulness for quantifying the main factors behind the severe contraction of the global economy and the price risks faced by shale oil producers in early 2020.
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A Note of Caution on Quantifying Banks' Recapitalization Effects
Felix Noth, Kirsten Schmidt, Lena Tonzer
Journal of Money, Credit and Banking,
No. 4,
2022
Abstract
Unconventional monetary policy measures like asset purchase programs aim to reduce certain securities' yield and alter financial institutions' investment behavior. These measures increase the institutions' market value of securities and add to their equity positions. We show that the extent of this recapitalization effect crucially depends on the securities' accounting and valuation methods, country-level regulation, and maturity structure. We argue that future research needs to consider these factors when quantifying banks' recapitalization effects and consequent changes in banks' lending decisions to the real sector.
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Umsetzung der Hilfen für die Flankierung des Kohleausstiegs in der brandenburgischen Lausitz – eine Zwischenbilanz
Gunther Markwardt, Mirko Titze, Jan Schnellenbach, Stefan Zundel
ifo Dresden berichtet,
No. 3,
2022
Abstract
Die bisherige Vergabe der Hilfen für die Flankierung des Kohleausstiegs in den ostdeutschen Ländern wird zuweilen kritisch gesehen, so auch vor kurzem in dieser Zeitschrif. Wesentlicher Kritikpunkt dabei ist, dass die geplanten Projekte zu einem erheblichen Teil Maßnahmen unterstützen, die zwar die Lebensbedingungen vor Ort verbessern, aber nur einen geringen Beitrag zu einer erfolgreichen Strukturentwicklung leisten. Dieser Beitrag gibt einen detaillierten Einblick in die Mittelvergabe in der brandenburgischen Lausitz. Die wirtschafspolitischen Entscheidungsträger orientieren sich bei der Mittelvergabe an den im Investitionsgesetz Kohleregionen und im Lausitzprogramm 2038 verankerten Leitbildern. Das wichtigste Kriterium für die Auswahl der Projekte ist ihre Strukturwirksamkeit, welche die Bewilligungsbehörden des Landes in einem mehrstufgen Prozess eingehend evaluieren. Die empirische Bestandsaufnahme zeigt, dass die Mehrzahl der Projekte in der brandenburgischen Lausitz auf die Förderbereiche „wirtschafsnahe Infrastruktur“ und „Infrastrukturen für Bildung und Forschung“ entfallen, diese Bereiche überproportional mit finanziellen Mitteln untersetzt sind und sich überwiegend in den kernbetroffenen Gemeinden fnden.
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The Effects of Sovereign Risk: A High Frequency Identification Based on News Ticker Data
Ruben Staffa
IWH Discussion Papers,
No. 8,
2022
Abstract
This paper uses novel news ticker data to evaluate the effect of sovereign risk on economic and financial outcomes. The use of intraday news enables me to derive policy events and respective timestamps that potentially alter investors’ beliefs about a sovereign’s willingness to service its debt and thereby sovereign risk. Following the high frequency identification literature, in the tradition of Kuttner (2001) and Guerkaynak et al. (2005), associated variation in sovereign risk is then obtained by capturing bond price movements within narrowly defined time windows around the event time. I conduct the outlined identification for Italy since its large bond market and its frequent coverage in the news render it a suitable candidate country. Using the identified shocks in an instrumental variable local projection setting yields a strong instrument and robust results in line with theoretical predictions. I document a dampening effect of sovereign risk on output. Also, borrowing costs for the private sector increase and inflation rises in response to higher sovereign risk.
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Stress-ridden Finance and Growth Losses: Does Financial Development Break the Link?
Serafín Martínez-Jaramillo, Ricardo Montañez-Enríquez, Matias Ossandon Busch, Manuel Ramos-Francia, Anahí Rodríguez-Martínez, José Manuel Sánchez-Martínez
IWH Discussion Papers,
No. 3,
2022
Abstract
Does financial development shield countries from the pass-through of financial shocks to real outcomes? We evaluate this question by characterising the probability density of expected GDP growth conditional on financial stability indicators in a panel of 28 countries. Our robust results unveil a non-linear nexus between financial stability and expected GDP growth, depending on countries’ degree of financial development. While both domestic and global financial factors affect expected growth, the effect of global factors is moderated by financial development. This result highlights a previously unexplored channel trough which financial development can break the link between financial (in)stability and GDP growth.
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COVID-19 Financial Aid and Productivity: Has Support Been Well Spent?
Carlo Altomonte, Maria Demertzis, Lionel Fontagné, Steffen Müller
Bruegel-Policy Contributions,
No. 21,
2021
Abstract
Most European Union countries have made good progress with vaccinating their populations against COVID-19 and are now seeing a rebound in economic activity. While the scarring effects of the crisis and the long-term implications of the pandemic are only partially understood, the effects of support given to firms can be evaluated in order to help plan the removal of crisis support. An analysis of France, Germany and Italy shows the potential for ‘cleansing effects’ in that it was the least-productive firms that have been affected most by the crisis. While support was generally not targeted at protecting good firms only, financial support went by and large to those with the capacity to survive and succeed. Labour schemes have been effective in protecting employment.
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A Comparison of Monthly Global Indicators for Forecasting Growth
Christiane Baumeister, Pierre Guérin
International Journal of Forecasting,
No. 3,
2021
Abstract
This paper evaluates the predictive content of a set of alternative monthly indicators of global economic activity for nowcasting and forecasting quarterly world real GDP growth using mixed-frequency models. It shows that a recently proposed indicator that covers multiple dimensions of the global economy consistently produces substantial improvements in forecasting accuracy, while other monthly measures have more mixed success. Specifically, the best-performing model yields impressive gains with MSPE reductions of up to 34% at short horizons and up to 13% at long horizons relative to an autoregressive benchmark. The global economic conditions indicator also contains valuable information for assessing the current and future state of the economy for a set of individual countries and groups of countries. This indicator is used to track the evolution of the nowcasts for the U.S., the OECD area, and the world economy during the COVID-19 pandemic and the main factors that drive the nowcasts are quantified.
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