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Economic forecasting is concerned with the estimation of some variable like gross domestic product (GDP) in the next period given a set of variables that describes the current situation or state of the economy, including industrial…
We evaluate the informational content of news-based sentiment indicators for forecasting Gross Domestic Product (GDP) and other macroeconomic variables of the five major European economies. Our data set includes over 27 million articles for…
Most models that try to explain economic growth indicate exponential growth paths. In recent years, however, a lively discussion has emerged considering the validity of this notion. In the empirical literature dealing with drivers of…
Has broadband become a necessity good immune to price changes? Using a 15-year panel of 33 European countries (2010--2024) and two-way fixed effects with Driscoll--Kraay standard errors, we document a fundamental transformation in broadband…
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII…
The correlation between G7 countries has been analysed on the basis of Gross Domestic Product using different distance functions i.e. discrete, linear correlation and distribution distance. The distance matrics is analysed by various graph…
We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this…
We build a 167-indicator comprehensive credit risk indicator set, integrating macro, corporate financial, bond-specific indicators, and for the first time, 30 large-scale corporate non-financial indicators. We use seven machine learning…
We study U.S. Treasury yield curve forecasting under distributional uncertainty and recast forecasting as an operations research and managerial decision problem. Rather than minimizing average forecast error, the forecaster selects a…
This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rate has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality…
This paper aims to explore the application of machine learning in forecasting Chinese macroeconomic variables. Specifically, it employs various machine learning models to predict the quarterly real GDP growth of China, and analyzes the…
A society or country with income equally distributed among its people is truly a fiction! The phenomena of socioeconomic inequalities have been plaguing mankind from times immemorial. We are interested in gaining an insight about the…
We study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP…
Recent strides in economic complexity have shown that the future economic development of nations can be predicted with a single "economic fitness" variable, which captures countries' competitiveness in international trade. The predictions…
Dividend yields have been widely used in previous research to relate stock market valuations to cash flow fundamentals. However, this approach relies on the assumption that dividend yields are stationary. Due to the failure to reject the…
This paper presents a new way to account for downside and upside risks when producing density nowcasts of GDP growth. The approach relies on modelling location, scale and shape common factors in real-time macroeconomic data. While movements…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the…
The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies considered only linear interactions between the economy and…
European Monetary Union continues to be characterised by significant macroeconomic imbalances. Germany has shown increasing current account surpluses at the expense of the other member states (especially the European periphery). Since the…