Taking the pulse of the real economy using financial statement analysis: the european perspective

This article shows that an analysis of aggregated changes in profitability and profitability drivers is useful to forecast European economic growth. Furthermore the predictive power contained in profitability ratios is incremental and thus complementary to that contained in stock returns. Although European professional forecasters tend to incorporate equity returns and accounting information in their revisions of output growth expectations, their prediction errors can be anticipated based on aggregate changes in Return on Equity, Net Profit Margin and on stock returns. It implies that macro experts do not fully rely on easily available information to forecast E.U real GDP growth

Real-time National Accounts Data

Quarterly national accounts data are amongst the most important and eagerly awaited economic information available, with estimates of recent growth regarded as a key summary indicator of the current health of the Australian economy. Official estimates of quarterly output are, however, subject to uncertainty and subsequent revision. Hence, the official estimates of quarterly national accounts aggregates, with which policy-makers must work, may in practice be an inaccurate guide to their ‘true’ values, not just initially but even for some time after the event. In this paper we examine over 120 vintages of Australian GDP data to provide an historical assessment of the scale and persistence of real-time errors in the measurement of actual output. The issue of whether it is possible to obtain reliable real-time estimates of the output gap is addressed in detail in a companion paper (Gruen, Robinson and Stone 2002).Australia, monetary policy, real-time data

The StatCan Dialogue Dataset: Retrieving Data Tables through Conversations with Genuine Intents

We introduce the StatCan Dialogue Dataset consisting of 19,379 conversation turns between agents working at Statistics Canada and online users looking for published data tables. The conversations stem from genuine intents, are held in English or French, and lead to agents retrieving one of over 5000 complex data tables. Based on this dataset, we propose two tasks: (1) automatic retrieval of relevant tables based on a on-going conversation, and (2) automatic generation of appropriate agent responses at each turn. We investigate the difficulty of each task by establishing strong baselines. Our experiments on a temporal data split reveal that all models struggle to generalize to future conversations, as we observe a significant drop in performance across both tasks when we move from the validation to the test set. In addition, we find that response generation models struggle to decide when to return a table. Considering that the tasks pose significant challenges to existing models, we encourage the community to develop models for our task, which can be directly used to help knowledge workers find relevant tables for live chat users.Comment: Accepted at EACL 202

The predictive content of the real interest rate gap for macroeconomic variables in the euro area

The real interest rate gap -IRG-, i.e. the gap between the short term real interest rate and its “natural†level, is a theoretical concept of potential policy relevance for central banks, at least to evaluate the monetary policy stance, at best as a guideline for policy moves. This paper aims at clarifying the practical relevance of IRG indicators for monetary policy. To this end, it provides an empirical assessment of the usefulness of various univariate and multivariate estimates of the real IRG for predicting inflation, real activity and real credit growth in the euro area. On the basis of out-of-sample evidence using real-time data, I find that IRG measures are globally of little help to improve our knowledge of future inflation in the euro area. By contrast, some of the estimated IRG measures exhibit a significant predictive power for future real activity, in line with the intuition from a traditional IS curve, as well as for credit growth. Nevertheless, in most cases, the forecasting models that include estimated IRG do not outperform a simpler AR model augmented with the first difference of the nominal interest ratenatural rate of interest, monetary policy, forecasting

China's Current Account and Exchange Rate

We examine whether the Chinese exchange rate is misaligned and how Chinese trade flows respond to the exchange rate and to economic activity. We find, first, that the Chinese currency, the renminbi (RMB), is substantially below the value predicted by estimates based upon a cross-country sample, when using the 2006 vintage of the World Development Indicators. The economic magnitude of the mis-alignment is substantial -- on the order of 50 percent in log terms. However, the misalignment is typically not statistically significant, in the sense of being more than two standard errors away from the conditional mean. Moreover, this finding disappears completely when using the most recent 2008 vintage of data; then the estimated undervaluation is on the order of 10 percent. Second, we find that Chinese multilateral trade flows respond to relative prices -- as represented by a trade weighted exchange rate -- but the relationship is not always precisely estimated. In addition, the direction of the effects is sometimes different from what is expected a priori. For instance, Chinese ordinary imports actually rise in response to a RMB depreciation; however, Chinese exports appear to respond to RMB depreciation in the expected manner, as long as a supply variable is included. In that sense, Chinese trade is not exceptional. Furthermore, Chinese trade with the United States appears to behave in a standard manner -- especially after the expansion in the Chinese manufacturing capital stock is accounted for. Thus, the China-US trade balance should respond to real exchange rate and relative income movements in the anticipated manner. However, in neither the case of multilateral nor bilateral trade flows should one expect quantitatively large effects arising from exchange rate changes. And, of course, these results are not informative with regard to the question of how a change in the RMB/USD exchange rate would affect the overall US trade deficit.

The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area.

The real interest rate gap or IRG -the gap between the short term real interest rate and its "natural" level-, is a theoretical concept that has attracted much attention in central banks in recent years. This paper aims at clarifying its practical relevance for monetary policy in real time. For this purpose, it provides an empirical assessment of the usefulness of various univariate and multivariate estimates of the real IRG for predicting inflation, real activity and real credit growth in the euro area. The results suggest that the reliability of such indicators for real time policy guidance remains limited.Natural rate of interest ; Monetary policy ; Forecasting.