Periodic Reporting for period 1 - MONITOR (Forecasting and Monitoring Economic Indicators)
Reporting period: 2015-10-01 to 2017-03-31
In this grant we develop a new software/toolbox which forecasts and monitors key economic indicators (such as macroeconomic activity, financial volatility and others) using novel econometric models and tests. Our forecasting and monitoring toolbox aims to improve the reliability of forecasts by introducing a novel family of models that deals with high frequency information, by incorporating new tests and by monitoring the forecasts in real-time, which go beyond the current state of the art. This grant has economic and societal benefits given that reliable forecasts of key economic variables are at the heart of prudent economic decision making and planning, which affect the growth and welfare of economic agents and societies. Forecasting and monitoring key macroeconomic variables is of direct interest to government institutions, Central banks, economic forecasting agencies, financial institutions and investment companies, among others.