Edited by GRAHAM ELLIOTT ALLAN TIMMERMANN

Transcription

1 Handbookof ECONOMIC FORECASTING Edited by GRAHAM ELLIOTT ALLAN TIMMERMANN ELSEVIER Amsterdam Boston Heidelberg London New York Oxford Paris San Diego San Francisco «Singapore Sydney Tokyo North Holland is an imprint of Elsevier

2 Introduction to the Series Contributors Section I: Macro Forecasting 1. Forecasting Inflation Jon Faust and Jonathan H. Wright 2. Approach for Our General Review 3. Market-Based Measures of the Inflation Outlook 4. OtherTopics 5. International Inflation Forecasts 6. Conclusions 2. DSGE Model-Based Forecasting Marco Del Negro and Frank Schorfheide 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 Raths 7. Moving Beyond Point Forecasts 8. Outlook Appendix A. Details for Figure Forecasting Output Marcelle Chauvet and Simon Potter 2. Forecasting Models 3. Forecast Comparison: Real-Time Performance 4. Conclusion XI xiii VII

3 viii Contents 4. Now-Casting and the Real-Time Data Flow 195 Marta Baribura, Domenico Giannone, Michele Modugno and Lucrezia Reichlin Now-Casting: Problem and Overview of Approaches Empirical Application Conclusions and Discussion on Further Developments 226 Appendix: Details on the State Space Representation and Estimation Forecasting and Policy Making 237 Volker Wieland and Maik Wolters The Role of Forecasts in Policy Making: A Practical Example and a Theoretical Framework Examples of Forecasts Produced at Fiscal Authorities and Central Banks Empirical Evidence that Policymakers' Decisions Respond to Forecasts Computing Forecasts that Account for the Interaction with Policy Decisions Evaluating the Performance of Policy Rules that Respond to Forecasts Outlook 315 Appendix A. A Medium-scale DSGE Model Section II: Forecasting Financial Variables Forecasting Stock Returns 327 David Rapach and Guofu Zhou What Level of Predictability Should We Expect? U.S. Aggregate Stock Market Return Forecastability Stock Return Forecastability Along Other Dimensions Conclusion Forecasting Interest Rates 385 Gregory Duffee Forecasting Methods from a Finance Perspective 387

4 Contents ix 3. Regression Approaches to Forecasting Treasury Yields A Dynamic Term Structure Framework Macro-Finance Models Economic Fundamentals and Risk Premia A Robustness Check Concluding Comments Forecasting the Price ofoil 427 Ron Alquist, Lutz Kilian, and Robert J. Vigfusson Alternative Oil Price Measures Alternative Oil Price Specifications Granger Causality Tests Short-Horizon Forecasts of the Nominal Price ofoil Long-Horizon Forecasts of the Nominal Price ofoil Based on Oil Futures Prices Survey Forecasts of the Nominal Price ofoil What Have we Learned about Forecasting the Nominal Price ofoil? Short-Horizon Forecasts of the Real Price ofoil What Have we Learned about Forecasting the Real Price of Oil? Structural VAR Forecasts of the Real Price ofoil The Ability ofoil Prices to Forecast U.S. Real GDP The Role of Oil Price Volatility Avenues for Future Research Conclusions Forecasting Real Estate Prices 509 Eric Ghysels, Alberto Plazzi, Rossen Valkanov and Walter Torous The Real Estate Data Forecasting Real Estate Returns REITs Real Estate, Leverage, and Monetary Policy Concluding Remarks Appendix A. Data Sources

5 x Contents 10. Forecasting with Option-Implied Information 581 Peter Christoffersen, Kris Jacobs, and Bo Young Chang Extracting Volatility and Correlation from Option Prices Extracting Skewness and Kurtosis from Option Prices Extracting Densities from Option Prices Allowing for Risk Premia Summary and Discussion 647 Acknowledgment Prediction Markets for Economic Forecasting 657 Erik Snowberg, JustinWolfers, and Eric Zitzewitz Types of Prediction Markets Why Prediction Markets Work Forecast Accuracy Discovering Economic Models Conclusion Index I