Macroeconomics, nonlinearities, and the business cycle:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Munich
Ifo Institute
2019
|
| Series: | ifo Beiträge zur Wirtschaftsforschung
87 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 188 Seiten Diagramme |
| ISBN: | 9783959420754 3959420757 |
Staff View
MARC
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| 245 | 1 | 0 | |a Macroeconomics, nonlinearities, and the business cycle |c Magnus Reif |
| 264 | 1 | |a Munich |b Ifo Institute |c 2019 | |
| 300 | |a 188 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
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| 502 | |b Dissertation |c Christian-Albrechts-Universität zu Kiel |d 2019 | ||
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| 653 | |a Unsicherheit | ||
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| 653 | |a Wendepunkte | ||
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Record in the Search Index
| _version_ | 1804180933526421504 |
|---|---|
| adam_text | CONTENTS
LIST
OF
FIGURES
XV
LIST
OF
TABLES
XVII
1
PREDICTING
ORDINARY
AND SEVERE
RECESSIONS
1
1.1
INTRODUCTION
.......................................................................................................
2
1.2
THE
MARKOV-SWITCHING
DYNAMIC
FACTOR
MODEL
....................................................
6
1.3
INDICATOR
SELECTION
..............................................................................................
9
1.4
EX
POST
BUSINESS
CYCLE
DATING
FOR
GERMANY
......................................................
12
1.4.1
SELECTED
INDICATORS
..................................................................................
13
1.4.2
FACTOR
ESTIMATE
FOR
MS(2)-DFM
.............................................................
13
1.4.3
FACTOR
ESTIMATE
FOR
MS(3)-DFM
............................................................
15
1.4.4
WHICH
MODEL
GIVES
A
MORE
REALISTIC
CHARACTERIZATION
OF
THE
GERMAN
BUSINESS
CYCLE?
........................................................................................
17
1.4.5
MONTHLY
BUSINESS
CYCLE
CHRONOLOGY
FOR
GERMANY
.................................
24
1.5
REAL-TIME
BUSINESS
CYCLE
ASSESSMENT
AND
FORECASTING
....................................
25
1.5.1
NOWCASTING
GERMAN
BUSINESS
CYCLE
TURNING
POINTS
..............................
25
1.5.2
MODEL
SELECTION
IN
REAL
TIME
...................................................................
31
1.5.3
FORECASTING
GERMAN
BUSINESS CYCLE
TURNING
POINTS
..............................
33
1.5.4
POINT
FORECASTS
OF
GERMAN
GDP
.............................................................
36
1.6
CONCLUSION
..........................................................................................................
41
A.L
CONSTRUCTION
OF
THE
STATE
SPACE
FORM
....................................................
43
A.2
ESTIMATION
OF
THE
MS-DFM
......................................................................
44
A.3
LARS-EN
ALGORITHM
...................................................................................
45
A.4
DETAILED
ESTIMATION
RESULTS
....................................................................
48
A.5
DATA:
INDICATORS,
SOURCES,
AND
REAL-TIME
SELECTION
...............................
49
2
TIME-VARYING
DYNAMICS
OF
THE
GERMAN
BUSINESS
CYCLE
55
2.1
INTRODUCTION
.......................................................................................................
56
2.2
THE
MODEL
..........................................................................................................
58
XI
2.3
DATA
.......................................................................................................................
59
2.4
REDUCED-FORM
ANALYSIS
........................................................................................
60
2.4.1
LONG-RUN
MEANS
.....................................................................................
60
2.4.2
PERSISTENCE
...............................................................................................
63
2.4.3
VOLATILITY
..................................................................................................
65
2.5
STRUCTURAL
ANALYSIS
..............................................................................................
69
2.5.1
IMPULSE
RESPONSE
ANALYSIS
......................................................................
69
2.5.2
FORECAST
ERROR
VARIANCE
DECOMPOSITION
.................................................
73
2.5.3
COUNTERFACTUAL
ANALYSIS
.........................................................................
75
2.6
CONCLUSION
...........................................................................................................
77
C.L
DETAILS
ON
THE
MODEL
ESTIMATION
...........................................................
79
C.2
IMPLEMENTATION
OF
GENERALIZED
IMPULSE
RESPONSES
.............................
84
C.
3
ADDITIONAL
FIGURES
...................................................................................
85
4
MACROECONOMIC
UNCERTAINTY
AND
FORECASTING
MACROECONOMIC
AGGREGATES
87
4.1
INTRODUCTION
........................................................................................................
88
4.2
THE
MODELS
...........................................................................................................
90
4.2.1
THE
BAYESIAN
VAR
..................................................................................
90
4.2.2
THE
BAYESIAN
THRESHOLD
VAR
...................................................................
91
4.3
DATA
AND
FORECAST
METHODOLOGY
.........................................................................
94
4.4
IN-SAMPLE
ANALYSIS
..............................................................................................
94
4.5
FORECAST
EVALUATION
..................................................................................................
100
4.5.1
FORECAST
METRICS
.........................................................................................
100
4.5.2
POINT
FORECASTS
............................................................................................
103
4.5.3
DENSITY
FORECASTS
.........................................................................................
106
4.6
CONCLUSION
..............................................................................................................
109
D.
L
PRIOR
IMPLEMENTATION
.................................................................................
113
D.2
DETERMINING
THE
DEGREE
OF
SHRINKAGE
.........................................................
114
D.3
GENERALIZED
IMPULSE
RESPONSES
..................................................................
117
5
FORECASTING
USING
MIXED-FREQUENCY
VARS
WITH
TIME-VARYING
PARAMETERS
119
5.1
INTRODUCTION
...........................................................................................................
120
5.2
DATA
AND
FORECAST
SETUP
.........................................................................................
123
5.2.1
DATASET
........................................................................................................
123
5.2.2
FORECAST
SETUP
............................................................................................
123
XII
5.3
THE
MODELS
..............................................................................................................
124
5.3.1
QUARTERLY
VAR
...........................................................................................
125
5.3.2
QUARTERLY
VAR
WITH
STOCHASTIC
VOLATILITY
....................................................
125
5.3.3
QUARTERLY
VAR
WITH
TIME-VARYING
PARAMETERS
...........................................
126
5.3.4
MIXED-FREQUENCY
VAR
...............................................................................
126
5.3.5
ESTIMATION
PROCEDURE
AND
PRIOR
SPECIFICATIONS
........................................
128
5.3.6
NOW-AND
FORECASTING
...............................................................................
131
5.4
FORECAST
METRICS
....................................................................................................
132
5.5
RESULTS
....................................................................................................................
134
5.5.1
NOWCAST
EVALUATION
..................................................................................
135
5.5.2
FORECAST
EVALUATION
..................................................................................
137
5.5.3
PREDICTIVE
DENSITY
EVALUATION
...................................................................
138
5.5.4
FORECASTING
DURING
THE
GREAT
RECESSION
....................................................
140
5.6
CONCLUSION
.............................................................................................................
142
C.L
PRIORS
............................................................................................................
147
C.2
SPECIFICATION
OF
THE
GIBBS
SAMPLER
...........................................................
148
C.3
LOG
SCORES
...................................................................................................
154
C.4
ADDITIONAL
FIGURES
......................................................................................
155
BIBLIOGRAPHY
169
XIII
|
| any_adam_object | 1 |
| author | Reif, Magnus |
| author_GND | (DE-588)1202634974 |
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| bvnumber | BV046402118 |
| classification_rvk | QN 200 |
| ctrlnum | (OCoLC)1129049841 (DE-599)DNB1200231414 |
| dewey-raw | a330 |
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV046402118 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:43:38Z |
| institution | BVB |
| institution_GND | (DE-588)16345994-0 |
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| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-031814856 |
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| physical | 188 Seiten Diagramme |
| publishDate | 2019 |
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| series2 | ifo Beiträge zur Wirtschaftsforschung |
| spelling | Reif, Magnus Verfasser (DE-588)1202634974 aut Macroeconomics, nonlinearities, and the business cycle Magnus Reif Munich Ifo Institute 2019 188 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier ifo Beiträge zur Wirtschaftsforschung 87 Dissertation Christian-Albrechts-Universität zu Kiel 2019 Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Konjunkturprognose (DE-588)4139119-6 gnd rswk-swf Faktormodelle Prognosemethoden Unsicherheit Vektorautoregression Wendepunkte (DE-588)4113937-9 Hochschulschrift gnd-content Konjunkturprognose (DE-588)4139119-6 s Konjunkturzyklus (DE-588)4032134-4 s Prognoseverfahren (DE-588)4358095-6 s Makroökonomisches Modell (DE-588)4074486-3 s DE-604 Ifo Institut (DE-588)16345994-0 pbl ifo Beiträge zur Wirtschaftsforschung 87 (DE-604)BV013457541 87 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031814856&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Reif, Magnus Macroeconomics, nonlinearities, and the business cycle ifo Beiträge zur Wirtschaftsforschung Prognoseverfahren (DE-588)4358095-6 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Konjunkturprognose (DE-588)4139119-6 gnd |
| subject_GND | (DE-588)4358095-6 (DE-588)4032134-4 (DE-588)4074486-3 (DE-588)4139119-6 (DE-588)4113937-9 |
| title | Macroeconomics, nonlinearities, and the business cycle |
| title_auth | Macroeconomics, nonlinearities, and the business cycle |
| title_exact_search | Macroeconomics, nonlinearities, and the business cycle |
| title_full | Macroeconomics, nonlinearities, and the business cycle Magnus Reif |
| title_fullStr | Macroeconomics, nonlinearities, and the business cycle Magnus Reif |
| title_full_unstemmed | Macroeconomics, nonlinearities, and the business cycle Magnus Reif |
| title_short | Macroeconomics, nonlinearities, and the business cycle |
| title_sort | macroeconomics nonlinearities and the business cycle |
| topic | Prognoseverfahren (DE-588)4358095-6 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Konjunkturprognose (DE-588)4139119-6 gnd |
| topic_facet | Prognoseverfahren Konjunkturzyklus Makroökonomisches Modell Konjunkturprognose Hochschulschrift |
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| volume_link | (DE-604)BV013457541 |
| work_keys_str_mv | AT reifmagnus macroeconomicsnonlinearitiesandthebusinesscycle AT ifoinstitut macroeconomicsnonlinearitiesandthebusinesscycle |