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Point and Density Forecasting of Macroeconomic and Financial Uncertainties of the United States

Afees Salisu (), Rangan Gupta () and Ahamuefula Ogbonna ()

No 202058, Working Papers from University of Pretoria, Department of Economics

Abstract: We forecast macroeconomic and financial uncertainties of the US over the period of 1960:Q3 to 2018:Q4, based on a large data set of 303 predictors using a wide array of constant parameter and time varying models. We find that uncertainty is indeed forecastable, but while accurate point forecasts can be achieved without incorporating time-variation in the parameters of the small-scale models for macroeconomic uncertainty and large-scale models for financial uncertainty, it is indeed a requirement, along with a large data set, when producing precise density forecasts for both types of uncertainties.

Keywords: Macroeconomic and financial uncertainties; large number of predictors; constant parameter and time-varying models; forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 C55 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2020-06
New Economics Papers: this item is included in nep-for, nep-mac and nep-ore
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