Forecasting Low Frequency Macroeconomic Events with High Frequency Data Article Swipe

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Michael T. Owyang , Ana Beatriz Galvão ·

YOU? · · 2020 · Open Access · · DOI: https://doi.org/10.20955/wp.2020.028

High-frequency …nancial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions.We propose a mixedfrequency alternative that delivers high-frequency probability forecasts (including their con…dence bands) for low-frequency events.The new approach is compared with single-frequency alternatives using loss functions for rare-event forecasting.We …nd: (i) the weekly-sampled term spread improves over the monthly-sampled to predict NBER recessions, (ii) the predictive content of …nancial variables is supplementary to economic activity for forecasts of vulnerability events, and (iii) a weekly activity index can date the 2020 business cycle peak in real-time using a mixed-frequency …ltering.

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Language: en
Landing Page: https://doi.org/10.20955/wp.2020.028
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Cited By: 2
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DOI: https://doi.org/10.20955/wp.2020.028

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Title: Forecasting Low Frequency Macroeconomic Events with High Frequency Data

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Language: en

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Publication year: 2020

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Authors: Michael T. Owyang, Ana Beatriz Galvão

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Landing page: https://doi.org/10.20955/wp.2020.028

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