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An Algorithmic Crystal Ball: Forecasts-based on Machine Learning1

An Algorithmic Crystal Ball: Forecasts-based on Machine Learning1 »

Source: An Algorithmic Crystal Ball: Forecasts-based on Machine Learning

Volume/Issue: 2018/230

Series: IMF Working Papers

Author(s): Jin-Kyu Jung , Manasa Patnam , and Anna Ter-Martirosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2018

ISBN: 9781484380635

Keywords: Machine learning, forecasts, forecast errors, Forecasting and Other Model Applications, Neural Networks and Related Topics

Forecasting macroeconomic variables is key to developing a view on a country's economic outlook. Most traditional forecasting models rely on fitting data to a pre-specified relationship between input and output var...

Lasso Regressions and Forecasting Models in Applied Stress Testing

Lasso Regressions and Forecasting Models in Applied Stress Testing »

Source: Lasso Regressions and Forecasting Models in Applied Stress Testing

Volume/Issue: 2017/108

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 May 2017

ISBN: 9781475599022

Keywords: Forecasting, Stress test, machine learning, model selection, lasso, relaxed lasso, General, Forecasting and Other Model Applications

Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation of...

The Great Recession and the Inflation Puzzle

The Great Recession and the Inflation Puzzle »

Source: The Great Recession and the Inflation Puzzle

Volume/Issue: 2013/124

Series: IMF Working Papers

Author(s): Troy Matheson , and Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2013

ISBN: 9781484334720

Keywords: Phillips Curve, price inflation, inflation dynamics, monetary fund, Forecasting and Other Model Applications, Forecasting and Simulation,

Notwithstanding persistently-high unemployment following the Great Recession, inflation in the United States has been remarkably stable. We find that a traditional Phillips curve describes the behavior of inflation...

Consensus Forecasts and Inefficient Information Aggregation

Consensus Forecasts and Inefficient Information Aggregation »

Source: Consensus Forecasts and Inefficient Information Aggregation

Volume/Issue: 2010/178

Series: IMF Working Papers

Author(s): Christopher Crowe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455201891

Keywords: Consensus Forecasts, Information Aggregation, Forecast Efficiency, efficiency, forecast horizons, forecast errors, forecast horizon, forecast error, Forecasting and Other Model Applications, General Aggregative Models: Forecasting and Simulation,

Consensus forecasts are inefficient, over-weighting older information already in the public domain at the expense of new private information, when individual forecasters have different information sets. Using a cro...

New Indicators for Tracking Growth in Real Time

New Indicators for Tracking Growth in Real Time »

Source: New Indicators for Tracking Growth in Real Time

Volume/Issue: 2011/43

Series: IMF Working Papers

Author(s): Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2011

ISBN: 9781455218998

Keywords: Nowcasting, Short-term forecasting, Real-time data, gdp growth, forecasting, real gdp, equation, Model Construction and Estimation, Forecasting and Other Model Applications, General Aggregative Models: Forecasting and Simulation,

We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle...

Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All?

Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All? »

Source: Forecasting the Nominal Brent Oil Price with VARs-One Model Fits All?

Volume/Issue: 2015/251

Series: IMF Working Papers

Author(s): Benjamin Beckers , and Samya Beidas-Strom

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 November 2015

ISBN: 9781513524276

Keywords: VARs, forecasts, prices, random walk, demand, Time-Series Models, Forecasting and Other Model Applications, Energy and the Macroeconomy, All Countries,

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While the exact spe...

Modeling and Forecasting Inflation in Japan

Modeling and Forecasting Inflation in Japan »

Source: Modeling and Forecasting Inflation in Japan

Volume/Issue: 2001/82

Series: IMF Working Papers

Author(s): Toshitaka Sekine

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2001

ISBN: 9781451850444

Keywords: forecast, random walk, equation, forecasting, statistics, Model Construction and Estimation, Forecasting and Other Model Applications, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

This paper estimates an inflation function and forecasts one-year ahead inflation for Japan. It finds that (i) markup relationships, excess money and the output gap are particularly relevant long-run determinants f...

Forecasting Thailand's Core Inflation

Forecasting Thailand's Core Inflation »

Source: Forecasting Thailand's Core Inflation

Volume/Issue: 2004/90

Series: IMF Working Papers

Author(s): Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2004

ISBN: 9781451851427

Keywords: Core Inflation, cointegration, statistics, equation, Forecasting and Other Model Applications, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the projections derived from the short-term time-series properties of core inflation to its longer-run evo...

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections »

Source: Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Volume/Issue: 2018/260

Series: IMF Working Papers

Author(s): Klaus-Peter Hellwig

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2018

ISBN: 9781484386187

Keywords: forecast evaluation, bias-variance trade-off, machine learning, Forecasting, GDP growth, Model Evaluation and Testing, Forecasting and Other Model Applications, Forecasting and Simulation

I regress real GDP growth rates on the IMF's growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimati...

Measures of Underlying Inflation in the Euro Area

Measures of Underlying Inflation in the Euro Area »

Source: Measures of Underlying Inflation in the Euro Area : Assessment and Role for Informing Monetary Policy

Volume/Issue: 2006/197

Series: IMF Working Papers

Author(s): Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864571

Keywords: Underlying inflation, forecast evaluation, composite indicators, forecast risk assessment, monetary aggregates, inflation dynamics, central bank, Model Construction and Estimation, Model Evaluation and Selection, Forecasting and Other Model Applications,

The paper evaluates the 24-month ahead inflation forecasting performance of various indicators of underlying inflation and structural models. The inflation forecast errors resulting from model misspecification are...