Handbook of Research Methods and Applications in Macroeconomic Forecasting

Edited by Michael P. Clements, Professor, ICMA Centre, Henley Business School, University of Reading and Ana Beatriz Galvão, Bloomberg Economics, London, UK

• Contents1 Introduction to the Handbook of Research Methods and Applications 1in Macroeconomic ForecastingMichael P. Clements and Ana Beatriz Galvão2 Macroeconomic forecasting using BVARs 15Niko Hauzenberger, Florian Huber and Gary Koop3 BVARs and stochastic volatility 43Joshua C. C. Chan4 Panel data forecasting 68Andreas Pick and Allan Timmermann5 Bayesian nonparametric methods for macroeconomic forecasting 90Massimiliano Marcellino and Michael Pfarrhofer6 Forecasting with DSGE models 126Edward Herbst7 Nowcasting recession risk 156Francesco Furno and Domenico Giannone8 Lessons from nowcasting GDP across the world 187Danilo Cascaldi-Garcia, Matteo Luciani and Michele Modugno9 Forecasting inflation in the US and in the euro area 218Marta Banìbura, Michele Lenza and Joan Paredes10 Econometrics of machine learning methods in economic forecasting 246Andrii Babii, Eric Ghysels and Jonas Striaukas11 Recent developments in forecast evaluation 274Barbara Rossi12 Survey expectations and forecast uncertainty 305Todd E. Clark and Elmar Mertens13 Real-time data and forecasting 334Michael P. Clements and Ana Beatriz Galvão14 Econometric forecasting of climate change 361Jennifer L. Castle, David F. Hendry and J. Isaac Miller15 Forecasting the macroeconomic effects of physical climate risk 396Andrew B. Martinez and Andrew J. Wilson16 Macroeconomic forecasting with text-based data 425Juri MarcucciIndex 469

‘Michael P. Clements and Ana Beatriz Galvão have curated a remarkable set of cutting-edge contributions, written by leading experts. This Handbook gives an exhaustive overview of current methodological challenges and achievements within macroeconomic forecasting, as well as perspectives on future developments. A must-read for both researchers and practitioners!’