Smooth and persistent forecasts of German GDP : balancing accuracy and stability / Katja Heinisch, Simon van Norden, Marc Wildi ; editor: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association
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Discovery
1949782697
URN
urn:nbn:de:gbv:3:2-123456789-1176323
DOI
ISBN
ISSN
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, 2026
Umfang
1 Online-Ressource (III, 31 Seiten, Seite A1-A5, 1,01 MB) : Diagramme
Ausgabevermerk
Sprache
eng
Anmerkungen
Literaturverzeichnis: Seite 30-31
Inhaltliche Zusammenfassung
Forecasts that minimize mean squared forecast error (MSE) often exhibit excessive volatility, limiting their practical applicability. We address this accuracy smoothness trade-off by introducing a Multivariate Smooth Sign Accuracy (M-SSA) framework, which extracts smoothed components from leading indicators to enhance the signal-to-noise ratio and control the forecast volatility and timing. Applied to quarterly German GDP growth, our method yields smoothed forecasts that can improve forecasting accuracy, particularly over medium-term horizons. We find that while smoother forecasts tend to lag slightly around turning points, this can be offset by adjusting the forecast horizon. These findings highlight the practicality of the M-SSA framework for both forecasters and policymakers, especially in settings where forecast revisions or policy adjustments are costly.
Schriftenreihe
IWH discussion papers ; 2026, no. 1 (January 2026) ppn:837399270