Handbook of Economic Forecasting

Handbook of Economic Forecasting

1st Edition - July 15, 2013
There is a Newer Edition Available
  • Editors: Graham Elliott, Allan Timmermann
  • Hardcover ISBN: 9780444536839
  • eBook ISBN: 9780444536846

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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.

Key Features

  • 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

Readership

Graduate students and professors worldwide working in all subdisciplines of economics and finance

Table of Contents

  • Dedication

    Introduction to the Series

    Contributors

    Section I: Macro Forecasting

    Chapter 1. Forecasting Inflation

    Abstract

    1 Introduction

    2 Approach for Our General Review

    3 Market-Based Measures of the Inflation Outlook

    4 Other Topics

    5 International Inflation Forecasts

    6 Conclusions

    Acknowledgments

    References

    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

    Abstract

    1 Introduction

    2 Forecasting Models

    3 Forecast Comparison: Real-time Performance

    4 Conclusion

    Acknowledgments

    References

    Chapter 4. Now-Casting and the Real-Time Data Flow

    Abstract

    1 Introduction

    2 Now-Casting: Problem and Overview of Approaches

    3 Empirical Application

    4 Conclusions and Discussion on Further Developments

    Acknowledgments

    Appendix A Appendix: Details on the State Space Representation and Estimation

    References

    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

    Abstract

    1 Introduction

    2 What Level of Predictability Should We Expect?

    3 U.S. Aggregate Stock Market Return Forecastability

    4 Stock Return Forecastability Along Other Dimensions

    5 Conclusion

    Acknowledgments

    References

    Chapter 7. Forecasting Interest Rates

    Abstract

    1 Introduction

    2 Forecasting Methods from a Finance Perspective

    3 Regression Approaches to Forecasting Treasury Yields

    4 A Dynamic Term Structure Framework

    5 Macro-Finance Models

    6 Economic Fundamentals and Risk Premia

    7 A Robustness Check

    8 Concluding Comments

    Acknowledgments

    References

    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

    Abstract

    1 Introduction

    2 The Real Estate Data

    3 Forecasting Real Estate Returns

    4 REITs

    5 Real Estate, Leverage, and Monetary Policy

    6 Concluding Remarks

    Appendix A Data sources

    References

    Chapter 10. Forecasting with Option-Implied Information

    Abstract

    1 Introduction

    2 Extracting Volatility and Correlation from Option Prices

    3 Extracting Skewness and Kurtosis from Option Prices

    4 Extracting Densities from Option Prices

    5 Allowing for Risk Premia

    6 Summary and Discussion

    Acknowledgment

    References

    Chapter 11. Prediction Markets for Economic Forecasting

    Abstract

    1 Introduction

    2 Types of Prediction Markets

    3 Why Prediction Markets Work

    4 Forecast Accuracy

    5 Discovering Economic Models

    6 Conclusion

    Acknowledgment

    References

    Index

Product details

  • No. of pages: 720
  • Language: English
  • Copyright: © North Holland 2013
  • Published: July 15, 2013
  • Imprint: North Holland
  • Hardcover ISBN: 9780444536839
  • eBook ISBN: 9780444536846

About the Editors

Graham Elliott

Co-Editor of the International Journal of Forecasting, Graham Elliott is a Fellow at the Center for Applied Macroeconomic Analysis.

Affiliations and Expertise

University of California, San Diego, USA

Allan Timmermann

Allan Timmerman has served as an associate editor on the editorial boards of forecasting, economics, and finance journals. A member of the UCSD faculty since 1994, he obtained his Ph.D. from Cambridge University.

Affiliations and Expertise

Rady School of Management, University of California, San Diego, USA