Using business survey in industrial and services sector to nowcast GDP growth:The French case

This paper proposes new bridge equations for the short-term French GDP forecasting. This tool allows to nowcast the quarterly GDP growth in France for the current quarter, based on the monthly business surveys in the industrial and services sectors. We use an automatic model selection procedure which brings a robust, clear and systematic framework for selecting variables. The forecasting performance for the different selected models is evaluated and we show that taking into account the business surveys in the services sector can be useful for nowcasting GDP growth rate.

Performance of short-term trend predictors for current economic analysis

We study the performance of several short-term trend estimators for current economic analysis. These estimators are available in X11-ARIMA, X12-ARIMA, TRAMO-SEATS and STAMP. We also include two other trend-cycle estimators obtained by post-processing seasonally adjusted data with X11ARIMA, namely, a modified Henderson nonlinear filter by Dagum (1996) DMH, and a new modified version of it, DMH-D. The estimators are applied to a number of simulated non-seasonal data of various levels of variability.

Explorations in monetary cliometrics: the Reichsbank: 1876-1920

Die saisonbedingten 'unit root tests' ermöglichen es, das Wesen von deterministischen und stochastischen saisonbedingten Schwankungen zu bestimmen. Der Autor wendet diese Methode im vorliegenden Arbeitspapier auf die originalen monatlichen Reihen des Währungsvorrats der Reichsbank an (umgerechnet auf wöchentliche Daten mit 2160 Beobachtungen) und hebt die deterministischen, saisonbedingten Schwankungen mit einer besonders ausgeprägten Saisonbedingtheit zu Anfang und am Ende des Jahres hervor. Dieses statistische Ergebnis wird abschließend zu den Wendepunkten in Beziehung gesetzt, die von der historischen Analyse ermittelt worden sind. (ICIÜbers)'The seasonal unit root tests make it possible to determine the nature of the deterministic and stochastic seasonal fluctuations. In this paper, the author's apply this method to the original monthly series of the Reichsbank monetary stock (constructed in weekly data with 2160 observations) and emphasize deterministic seasonal fluctuations with notably a strong seasonality at the beginning and at the end of the year. This statistical result is closely related to the turning points detected by the historical analysis.' (author's abstract

La Reichsbank, 1876-1920. Une analyse institutionnelle et cliométrique

I. Introduction En 1870, la condition de mise en place du système monétaire reflète la division politique de l’Allemagne. Sept systèmes, fondés sur le Standard Argent, sont en vigueur en même temps, trente deux banques et vingt deux Etats mettent un très grand nombre de billets en circulation. Cette confusion monétaire résulte du développement économique des années 1840 et 1850, ainsi que de la création des banques d’émission (Zettelbanken). En fait, sur les vingt deux Etats allemands, seule ..

Nowcasting GDP growth using data reduction methods: Evidence for the French economy

International audienceIn this paper, we propose bridge models to nowcast French gross domestic product (GDP) quarterly growth rate. The bridge models, allowing economic interpretations, are specified by using a machine learning approach via Lasso-based regressions and by an econometric approach based on an automatic general-to-specific procedure. These approaches allow to select explanatory variables among a large data set of soft data. A recursive forecast study is carried out to assess the forecasting performance. It turns out that the bridge models constructed using the both variable-selection approaches outperform benchmark models and give similar performance in the out-of-sample forecasting exercise. Finally, the combined forecasts of these both approaches display interesting forecasting performance

Testing for Random Walk Behavior in Euro Exchange Rates

This study examines the random walk behavior of major Euro exchange rates. The hypothesis is tested with new variance ratio tests based on power transformation and multiple ranks from daily and weekly data. We find that Euro exchange rates for the major trading countries follow the random walk hypothesis, and therefore are significantly weak-form efficient. This outcome is not necessarily the case for non-major trading currencies, especially for the Swedish kroner, where the random walk hypothesis is rejected at the daily and weekly frequencies.Exchange market efficiency; euro exchange rates; random walk; variance ratio test

The purchasing power parity in Australia: evidence from unit root test with structural break

The unit root test with structural break developed by Perron and Rodriguez are used to study the purchasing power parity (PPP) in the spirit of Balassa-Samuelson in Australia for the period January 1977 to April 2004. The results indicate that there is a break in February 1985 which coincides with the exchange rate crisis in 1985, occurring after the establishment of the dirty flexible exchange rate system. We also show that there is no tendency to the PPP in Australia to hold in the long-run during this period.