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Euro-sting：欧元区增长的短期指标AI 解读

Abstract We set out a model to compute short‐term forecasts of the euro area GDP growth in real time. To allow for forecast evaluation, we construct a real‐time dataset that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this dataset we show that our simple factor model algorithm, which uses an easy‐to‐replicate methodology, is able to forecast the euro area GDP growth as well as professional forecasters…

领先指标究竟领先什么AI 解读

Abstract We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, non‐parametric models and conclude that a combination of the switching regimes and non‐parametric forecasts is the best strategy at…