Arbeitspapier
Forecasting the world economy in the short-term
Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims, first, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods forecasting di- rectly aggregate variables (direct approaches)out-perform methods based on the aggregation of country- specific forecasts (bottom-up approaches). Overall, all methods perform better than a simple benchmark for short horizons (up to three months ahead). Among the forecasting approaches used, factor models appear to perform the best. Moreover, direct approaches out-perform bottom-up ones for real variables, but not for prices. Finally, when country-specific forecasts are adjusted to match direct forecasts at the aggregate levels (top-down approaches), the forecast accuracy is neither improved nor deteriorated (i.e. top-down and bottom-up approaches are broadly equivalent in terms of country-specific forecast accuracy).
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1059
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Trade: Forecasting and Simulation
- Thema
-
Factor models
forecasts
Time series models
Prognoseverfahren
Frühindikator
Aggregation
Zeitreihenanalyse
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Jakaitiene, Audrone
Dées, Stéphane
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Jakaitiene, Audrone
- Dées, Stéphane
- European Central Bank (ECB)
Entstanden
- 2009
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