Book description
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues.
- Focuses on innovation in economic forecasting via industry applications
- Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications
- Makes details about economic forecasting accessible to scholars in fields outside economics
Table of contents
- Cover image
- Title page
- Table of Contents
- Copyright
- Dedication
- Introduction to the Series
- Contributors
-
Section I: Macro Forecasting
- Chapter 1. Forecasting Inflation
-
Chapter 2. DSGE Model-Based Forecasting
- Abstract
- 1 Introduction
- 2 The DSGE Models
- 3 Generating Forecasts with DSGE Models
- 4 Accuracy of Point Forecasts
- 5 DSGE Model Forecasts Using External Information
- 6 Forecasts Conditional on Interest Rate Paths
- 7 Moving Beyond Point Forecasts
- 8 Outlook
- Acknowledgments
- Appendix A Details for Figure 2.5
- References
- Chapter 3. Forecasting Output
- Chapter 4. Now-Casting and the Real-Time Data Flow
-
Chapter 5. Forecasting and Policy Making
- Abstract
- 1 Introduction
- 2 The Role of Forecasts in Policy Making: A Practical Example and a Theoretical Framework
- 3 Examples of Forecasts Produced at Fiscal Authorities and Central Banks
- 4 Empirical Evidence that Policymakers’ Decisions Respond to Forecasts
- 5 Computing Forecasts that Account for the Interaction with Policy Decisions
- 6 Evaluating the Performance of Policy Rules that Respond to Forecasts
- 7 Outlook
- Acknowledgments
- Appendix A A medium-scale DSGE model
- References
-
Section II: Forecasting Financial Variables
- Chapter 6. Forecasting Stock Returns
- Chapter 7. Forecasting Interest Rates
-
Chapter 8. Forecasting the Price of Oil
- Abstract
- 1 Introduction
- 2 Alternative Oil Price Measures
- 3 Alternative Oil Price Specifications
- 4 Granger Causality Tests
- 5 Short-Horizon Forecasts of the Nominal Price of Oil
- 6 Long-Horizon Forecasts of the Nominal Price of Oil Based on Oil Futures Prices
- 7 Survey Forecasts of the Nominal Price of Oil
- 8 What Have We Learned about Forecasting the Nominal Price of Oil?
- 9 Short-Horizon Forecasts of the Real Price of Oil
- 10 What Have We Learned about Forecasting the Real Price of Oil?
- 11 Structural VAR Forecasts of the Real Price of Oil
- 12 The Ability of Oil Prices to Forecast U.S. Real GDP
- 13 The Role of Oil Price Volatility
- 14 Avenues for Future Research
- 15 Conclusions
- Acknowledgments
- References
- Chapter 9. Forecasting Real Estate Prices
- Chapter 10. Forecasting with Option-Implied Information
- Chapter 11. Prediction Markets for Economic Forecasting
- Index
Product information
- Title: Handbook of Economic Forecasting
- Author(s):
- Release date: August 2013
- Publisher(s): North Holland
- ISBN: 9780444536846
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