This paper assesses the IMF medium-term forecasts—i.e., forecasts for three, four, and five years ahead—of GDP growth published in the WEO, covering most IMF member countries, over the period 1990–2012. Evidence is drawn from surveys and interviews with IMF staff, country authorities, and representatives of the private sector, as well as a quantitative analysis of forecast errors. Results indic...

Using monthly forecast data from Consensus Economics Inc. for 18 developed countries reported over 24 different forecast horizons during 1989-2004, we found wide diversity in the quality of forecasts across countries, and the horizons at which forecasts start becoming useful. For only seven countries (viz., Austria, Belgium, Canada, Denmark, Germany, Norway and U.S.) the initial 24-month-ahead ...

Forecasting Value-at-Risk (VaR) for financial portfolios is a staggering task in financial risk management. The turmoil in financial markets as observed since September 2008 called for more complex VaR models, as ”standard” VaR approaches failed to anticipate the collective market movements faced during the financial crisis. Hence, recent research on portfolio management mainly focussed on mode...

We show that economic restrictions of cointegration between asset cash flows and aggregate consumption have important implications for return dynamics and optimal portfolio rules, particularly for long investment horizons. When cash flows and consumption share a common stochastic trend (i.e., are cointegrated), temporary deviations between their levels forecast long-horizon dividend growth rate...

Short-range forecasts of precipitation fields are needed in a wealth of agricultural, hydrological, ecological and other applications. Forecasts from numerical weather prediction models are often biased and do not provide uncertainty information. Here we present a postprocessing technique for such numerical forecasts that produces correlated probabilistic forecasts of precipitation accumulation...

Age-specific mortality rates are often disaggregated by different attributes, such as sex, state and ethnicity. Forecasting age-specific mortality rates at the national and sub-national levels plays an important role in developing social policy. However, independent forecasts of agespecific mortality rates at the sub-national levels may not add up to the forecasts at the national level. To addr...

The Masinga Reservoir located in the upper Tana River basin, Kenya, is extremely important in supplying the country’s hydropower and protecting downstream ecology. The dam serves as the primary storage reservoir, controlling streamflow through a series of downstream hydroelectric reservoirs. The Masinga dam’s operation is crucial in meeting power demands and thus contributing significantly to t...

The primary objective of Eurosystem monetary policy is to maintain price stability, de…ned as an annual increase in the HICP below two percent. 1 Because of the lags in the e¤ects of monetary-policy actions on aggregate demand and in ‡ation, monetary-policy actions cannot a¤ect current in ‡ation and output, nor in ‡ation or output in the near future. A rough benchmark is that monetary policy a¤...

In general, studies on short-term hourly electricity load modeling and forecasting do not investigate in detail the sources of uncertainty forecasting. This study aims to evaluate impact benefits applying bootstrap aggregation overcoming time series forecasting, thereby increasing accuracy multistep ahead point forecasts. We implemented existing proposed clustering-based bootstrapping methods g...

In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the ...