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Handbook of Economic Forecasting

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

  1. Cover image
  2. Title page
  3. Table of Contents
  4. Copyright
  5. Dedication
  6. Introduction to the Series
  7. Contributors
  8. Section I: Macro Forecasting
    1. Chapter 1. Forecasting Inflation
      1. Abstract
      2. 1 Introduction
      3. 2 Approach for Our General Review
      4. 3 Market-Based Measures of the Inflation Outlook
      5. 4 Other Topics
      6. 5 International Inflation Forecasts
      7. 6 Conclusions
      8. Acknowledgments
      9. References
    2. Chapter 2. DSGE Model-Based Forecasting
      1. Abstract
      2. 1 Introduction
      3. 2 The DSGE Models
      4. 3 Generating Forecasts with DSGE Models
      5. 4 Accuracy of Point Forecasts
      6. 5 DSGE Model Forecasts Using External Information
      7. 6 Forecasts Conditional on Interest Rate Paths
      8. 7 Moving Beyond Point Forecasts
      9. 8 Outlook
      10. Acknowledgments
      11. Appendix A Details for Figure 2.5
      12. References
    3. Chapter 3. Forecasting Output
      1. Abstract
      2. 1 Introduction
      3. 2 Forecasting Models
      4. 3 Forecast Comparison: Real-time Performance
      5. 4 Conclusion
      6. Acknowledgments
      7. References
    4. Chapter 4. Now-Casting and the Real-Time Data Flow
      1. Abstract
      2. 1 Introduction
      3. 2 Now-Casting: Problem and Overview of Approaches
      4. 3 Empirical Application
      5. 4 Conclusions and Discussion on Further Developments
      6. Acknowledgments
      7. Appendix A Appendix: Details on the State Space Representation and Estimation
      8. References
    5. Chapter 5. Forecasting and Policy Making
      1. Abstract
      2. 1 Introduction
      3. 2 The Role of Forecasts in Policy Making: A Practical Example and a Theoretical Framework
      4. 3 Examples of Forecasts Produced at Fiscal Authorities and Central Banks
      5. 4 Empirical Evidence that Policymakers’ Decisions Respond to Forecasts
      6. 5 Computing Forecasts that Account for the Interaction with Policy Decisions
      7. 6 Evaluating the Performance of Policy Rules that Respond to Forecasts
      8. 7 Outlook
      9. Acknowledgments
      10. Appendix A A medium-scale DSGE model
      11. References
  9. Section II: Forecasting Financial Variables
    1. Chapter 6. Forecasting Stock Returns
      1. Abstract
      2. 1 Introduction
      3. 2 What Level of Predictability Should We Expect?
      4. 3 U.S. Aggregate Stock Market Return Forecastability
      5. 4 Stock Return Forecastability Along Other Dimensions
      6. 5 Conclusion
      7. Acknowledgments
      8. References
    2. Chapter 7. Forecasting Interest Rates
      1. Abstract
      2. 1 Introduction
      3. 2 Forecasting Methods from a Finance Perspective
      4. 3 Regression Approaches to Forecasting Treasury Yields
      5. 4 A Dynamic Term Structure Framework
      6. 5 Macro-Finance Models
      7. 6 Economic Fundamentals and Risk Premia
      8. 7 A Robustness Check
      9. 8 Concluding Comments
      10. Acknowledgments
      11. References
    3. Chapter 8. Forecasting the Price of Oil
      1. Abstract
      2. 1 Introduction
      3. 2 Alternative Oil Price Measures
      4. 3 Alternative Oil Price Specifications
      5. 4 Granger Causality Tests
      6. 5 Short-Horizon Forecasts of the Nominal Price of Oil
      7. 6 Long-Horizon Forecasts of the Nominal Price of Oil Based on Oil Futures Prices
      8. 7 Survey Forecasts of the Nominal Price of Oil
      9. 8 What Have We Learned about Forecasting the Nominal Price of Oil?
      10. 9 Short-Horizon Forecasts of the Real Price of Oil
      11. 10 What Have We Learned about Forecasting the Real Price of Oil?
      12. 11 Structural VAR Forecasts of the Real Price of Oil
      13. 12 The Ability of Oil Prices to Forecast U.S. Real GDP
      14. 13 The Role of Oil Price Volatility
      15. 14 Avenues for Future Research
      16. 15 Conclusions
      17. Acknowledgments
      18. References
    4. Chapter 9. Forecasting Real Estate Prices
      1. Abstract
      2. 1 Introduction
      3. 2 The Real Estate Data
      4. 3 Forecasting Real Estate Returns
      5. 4 REITs
      6. 5 Real Estate, Leverage, and Monetary Policy
      7. 6 Concluding Remarks
      8. Appendix A Data sources
      9. References
    5. Chapter 10. Forecasting with Option-Implied Information
      1. Abstract
      2. 1 Introduction
      3. 2 Extracting Volatility and Correlation from Option Prices
      4. 3 Extracting Skewness and Kurtosis from Option Prices
      5. 4 Extracting Densities from Option Prices
      6. 5 Allowing for Risk Premia
      7. 6 Summary and Discussion
      8. Acknowledgment
      9. References
    6. Chapter 11. Prediction Markets for Economic Forecasting
      1. Abstract
      2. 1 Introduction
      3. 2 Types of Prediction Markets
      4. 3 Why Prediction Markets Work
      5. 4 Forecast Accuracy
      6. 5 Discovering Economic Models
      7. 6 Conclusion
      8. Acknowledgment
      9. References
  10. Index