scholarly journals Does More Expert Adjustment Associate with Less Accurate Professional Forecasts?

2020 ◽  
Vol 13 (3) ◽  
pp. 44
Author(s):  
Philip Hans Franses ◽  
Max Welz
Keyword(s):  
Econometric Model ◽  
Gdp Growth ◽  
Forecast Updates ◽  
Model Based

Professional forecasters can rely on an econometric model to create their forecasts. It is usually unknown to what extent they adjust an econometric model-based forecast. In this paper we show, while making just two simple assumptions, that it is possible to estimate the persistence and variance of the deviation of their forecasts from forecasts from an econometric model. A key feature of the data that facilitates our estimates is that we have forecast updates for the same forecast target. An illustration to consensus forecasters who give forecasts for GDP growth, inflation and unemployment for a range of countries and years suggests that the more a forecaster deviates from a prediction from an econometric model, the less accurate are the forecasts.

The Relationship Between Costs And Availability Of Credit: An Empirical Study For Some Tunisian Firms

2012 ◽  
Vol 28 (3) ◽  
pp. 515
Author(s):  
Helmi Hamdi ◽  
Abdelaziz Hakimi ◽  
Mouldi Djelassi
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Econometric Model ◽  
Panel Data Analysis ◽  
Qualitative Model ◽  
Model Based ◽  
Bank Financing ◽  
Logit Estimation ◽  
The Cost ◽  
The Relationship

<p>The aim of this paper is twofold. First, the paper aims to analyze the relationship between the number of bank enterprise relationships and the cost of credit for some Tunisian firms. Using an econometric model based on panel data analysis, results show that the number of bank financing lenders increases the cost of credit. Second, the paper aims to determine the rapport between the number of bank partners and the availability of the credit. By using a qualitative model based on the logit estimation, results show that the number of banks affects negatively and significantly the availability of credit.</p>

An Agenda For Econometric Model Building

1991 ◽  
Vol 3 ◽  
pp. 123-154 ◽  
Author(s):  
Jim Granato
Keyword(s):  
Diagnostic Tests ◽  
Model Building ◽  
Econometric Model ◽  
Short Term ◽  
Correction Model ◽  
Model Based ◽  
Methodological Approaches ◽  
Residual Correction ◽  
Statistical Criteria

This article addresses the lack of cohesion in econometric model building. This incoherence contributes to model building based on statistical criteria—correcting residuals—and not theoretical criteria. The models we build, therefore, are not valid replications of theory. To deal with this problem, an agenda for model building is outlined and discussed. Drawing on the methodological approaches of Hendry, Qin, and Favero (1989), Hendry and Richard (1982, 1983), Sargan (1964), and Spanos (1986), this agenda incorporates a “general to simple” modeling philosophy, a battery of diagnostic tests, reduction theory, and the development of models that include short-term and long-term parameters. A comparison is made between a model based on this agenda and a model based on corrected residuals. The findings show that the agenda-based model outperforms the residual correction model.

scholarly journals Econometric Model to Estimate Defaults on Payment in the Spanish Financial Sector in Oliver Wyman’s Stress Tests

2016 ◽  
Vol 3 (1) ◽  
pp. 24
Author(s):  
Salvador Climent-Serrano
Keyword(s):  
Exchange Rate ◽  
Historical Data ◽  
Econometric Model ◽  
Stock Exchange ◽  
Housing Prices ◽  
Financial Sector ◽  
Stress Tests ◽  
Economic Variables ◽  
Model Based ◽  
The Exchange Rate

This work develops an econometric model based on the exogenous economic variables used in Oliver Wyman´s report. In this case the model is used in order to estimate late payments (NPLs) by Spanish credit entities. A model based on variables considered to be optimal to quantify impact on the NPLs is developed by studying the aforementioned variables, modifying them and eliminating any which are superfluous. Furthermore, whether or not the model is optimal for long periods of time is corroborated. This is due to the fact that the scenario in Oliver Wyman´s report from September 2012 (Wyman 2012) is based on 30 years of Spanish economical historical data, as stated in the report itself. The results indicate the variables that have impact on defaults. The increase in housing prices, the Madrid Stock Exchange Index, the Exchange Rate the euro against USD. The Euribor 12 months and the industries Credit to other residents, decreases the delinquency. The NPLs also fell by transfers from riskier assets to SAREB. However, these results are different if the economy is growing or in recession. So the results will not be optimal but the appropriate model is employed.

scholarly journals Modeling Judgment in Macroeconomic Forecasts

2021 ◽  
Author(s):  
Philip Hans Franses
Keyword(s):  
Time Series ◽  
Formal Method ◽  
Econometric Model ◽  
Time Series Model ◽  
Gdp Growth ◽  
Forecast Errors ◽  
African Countries ◽  
Empirical Results ◽  
Real Gdp

AbstractMany macroeconomic forecasts are the outcome of a judgmental adjustment to a forecast from an econometric model. The size, direction, and motivation of the adjustment are often unknown as usually only the final forecast is available. This is problematic in case an analyst wishes to learn from forecast errors, which could lead to improving the model, the judgment or both. This paper therefore proposes a formal method to include judgment, which makes the combined forecast reproducible. As an illustration, a forecast from a benchmark simple time series model is only modified when the value of a factor, estimated from a multitude of variables, exceeds a user-specified threshold. Simulations and empirical results for forecasting annual real GDP growth in 52 African countries provide an illustration.

scholarly journals An analysis of the economic performances of the retail companies in Romania

2020 ◽  
Vol 15 (1) ◽  
pp. 125-133 ◽  
Author(s):  
Mihail Busu ◽  
Madalina Vanesa Vargas ◽  
Ioan Alexandru Gherasim
Keyword(s):  
Regression Model ◽  
Econometric Model ◽  
The Other ◽  
Economic Factors ◽  
Multilinear Regression ◽  
Statistical Software ◽  
Model Based ◽  
Fixed Assets ◽  
Economic Studies

AbstractBased on the finding of the economic studies on the analysis of the performances of the companies from retails sector, this paper aims of analyzing the economic factors which are the basis of economic performances of the new companies from the retails sector of Romania. Starting with an econometric model based on current assets, fixed assets and number of employees, three research hypotheses were tested and validated through a multilinear regression model analyzed with the OLS method with the use of statistical software SPSS 23. The conclusions of the paper are in line with the other researches in the area and underline that the economic performances of the selected companies are determined by the current and fixed assets, as well as the number of employees.

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