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Forecasting low frequency macroeconomic events with high frequency data
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Galvão, Ana Beatriz and Owyang, Michael (2022) Forecasting low frequency macroeconomic events with high frequency data. Journal of Applied Econometrics, 37 (7). pp. 1314-1333. doi:10.1002/jae.2931 ISSN 0883-7252.
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Official URL: http://dx.doi.org/10.1002/jae.2931
Abstract
High-frequency financial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions. We propose a mixed-frequency alternative that delivers high-frequency probability forecasts (including their confidence bands) for low-frequency events. The new approach is compared with single-frequency alternatives using loss functions for rare-event forecasting. We find (i) the weekly-sampled term spread improves over the monthly-sampled to predict NBER recessions, (ii) the predictive content of financial variables is supplementary to economic activity for forecasts of vulnerability events, and (iii) a weekly activity index can date the 2020 business cycle peak in real-time using a mixed-frequency filtering.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Recessions , Economic indicators, Macroeconomics , Corporations -- Finance -- Forecasting | ||||||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||||||
ISSN: | 0883-7252 | ||||||||
Official Date: | November 2022 | ||||||||
Dates: |
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Volume: | 37 | ||||||||
Number: | 7 | ||||||||
Page Range: | pp. 1314-1333 | ||||||||
DOI: | 10.1002/jae.2931 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | This is the peer reviewed version of the following article: Galvão, AB, Owyang, M. Forecasting Low Frequency Macroeconomic Events with High Frequency Data. J Appl Econ. 2022. Accepted Author Manuscript. https://doi.org/10.1002/jae.2931, which has been published in final form at https://doi.org/10.1002/jae.2931. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 3 October 2022 | ||||||||
Date of first compliant Open Access: | 2 November 2022 |
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