Macroeconomic uncertainty and forecasting macroeconomic aggregates

Abstract: Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic uncertainty in both linear and nonlinear Bayesian VARs. For the latter, I use a threshold VAR that allows for regime-dependent dynamics conditional on the level of the uncertainty measure. I find that the predictive power of macroeconomic uncertainty in the linear VAR is negligible. In contrast, using information on macroeconomic uncertainty in a threshold VAR can significantly improve the accuracy of short-term point and density forecasts, especially in the presence of high uncertainty.

Standort
Deutsche Nationalbibliothek Frankfurt am Main
Umfang
Online-Ressource
Sprache
Englisch

Erschienen in
Macroeconomic uncertainty and forecasting macroeconomic aggregates ; volume:25 ; number:2 ; year:2020 ; extent:20
Studies in nonlinear dynamics and econometrics ; 25, Heft 2 (2020) (gesamt 20)

Urheber

DOI
10.1515/snde-2019-0073
URN
urn:nbn:de:101:1-2022100614171796728134
Rechteinformation
Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
Letzte Aktualisierung
15.08.2025, 07:37 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Beteiligte

Ähnliche Objekte (12)