Real-time forecasting of inflation and output growth with autoregressive models in the presence of data revisions

We examine how the accuracy of real-time forecasts from models that include autoregressive terms can be improved by estimating the models on ‘lightly revised’ data instead of using data from the latest-available vintage. The benefits of estimating autoregressive models on lightly revised data are related to the nature of the data revision process and the underlying process for the true values. Empirically, we find improvements in root mean square forecasting error of 2–4% when forecasting output growth and inflation with univariate models, and of 8% with multivariate models. We show that multiple-vintage models, which explicitly model data revisions, require large estimation samples to deliver competitive forecasts. Copyright © 2012 John Wiley & Sons, Ltd.

Probability distributions or point predictions? Survey forecasts of US output growth and inflation

We consider whether survey respondents’ probability distributions, reported as histograms, provide reliable and coherent point predictions, when viewed through the lens of a Bayesian learning model. We argue that a role remains for eliciting directly-reported point predictions in surveys of professional forecasters.

Forecast uncertainty—ex Ante and ex Post: U.S. inflation and output growth

Survey respondents who make point predictions and histogram forecasts of macro-variables reveal both how uncertain they believe the future to be, ex ante, as well as their ex post performance. Macroeconomic forecasters tend to be overconfident at horizons of a year or more, but overestimate (i.e., are underconfident regarding) the uncertainty surrounding their predictions at short horizons. Ex ante uncertainty remains at a high level compared to the ex post measure as the forecast horizon shortens. There is little evidence of a link between individuals’ ex post forecast accuracy and their ex ante subjective assessments.

Cusp ion steps, field-aligned currents and poleward moving auroral forms

We predict the field-aligned currents around cusp ion steps produced by pulsed reconnection between the geomagnetic field and an interplanetary magnetic field (IMF) with a B-Y component that is large in magnitude. For B-Y > 0, patches of newly opened flux move westward and eastward in the Northern and Southern Hemispheres, respectively, under the influence of the magnetic curvature force. These flow directions are reversed for B-Y < 0. The speed of this longitudinal motion initially grows with elapsed time since reconnection, but then decays as the newly opened field lines straighten. We predict sheets of field-aligned current on the boundaries between the patches produced by successive reconnection pulses, associated with the difference in the speeds of their longitudinal motion. For low elapsed times since reconnection, near the equatorward edge of the cusp region where the field lines are accelerating, the field-aligned current sheets will be downward or upward in both hemispheres for positive or negative IMF B-Y, respectively. At larger elapsed times since reconnection, as events slow and evolve from the cusp into the mantle region, these field-aligned current directions will be reversed. Observations by the Polar spacecraft on August 26,1998, show the predicted upward current sheets at steps seen in the mantle region for IMF B-Y > 0. Mapped into the ionosphere, the steps coincide with poleward moving events seen by the CUTLASS HF radar. The mapped location of the largest step also coincides with a poleward moving arc seen by the UVI imager on Polar. We show that the arc is consistent with a region of upward field-aligned current that has become unstable, such that a potential drop of about 1 kV formed below the spacecraft. The importance of these observations is that they confirm that the poleward moving events, as seen by the HF radar and the UV imager, are due to pulsed magnetopause reconnection. Milan et al. [2000] noted that the great longitudinal extent of these events means that the required reconnection pulses would have contributed almost all the voltage placed across the magnetosphere at this time. The observations also show that auroral arcs can form on open field lines in response to the pulsed application of voltage at the magnetopause.

Coherent EISCAT Svalbard Radar spectra from the dayside cusp/cleft and their implications for transient field-aligned currents

Naturally enhanced incoherent scatter spectra from the vicinity of the dayside cusp/cleft, interpreted as being due to plasma turbulence driven by short bursts of intense field-aligned current, are compared with high-resolution narrow-angle auroral images and meridian scanning photometer data. Enhanced spectra have been observed on many occasions in association with nightside aurora, but there has been only one report of such spectra seen in the cusp/cleft region. Narrow-angle images show considerable change in the aurora on timescales shorter than the 10-s radar integration period, which could explain spectra observed with both ion lines simultaneously enhanced. Enhanced radar spectra are generally seen inside or beside regions of 630-nm auroral emission, indicative of sharp F region conductivity gradients, but there appears also to be a correlation with dynamic, small-scale auroral forms of order 100 m and less in width.

DE-2 observations of filamentary currents at ionospheric altitudes

Conjunctive measurements made by the Dynamics Explorer 1 and 2 spacecraft on October 22, 1981, under conditions of southward IMF, suggest the existence of a cusp ion injection from a region at the magnetopause with a scale size of ∼ 1/2 to 1 R E . Current signatures observed by the LAPI and MAGB instruments on board DE-2 indicate the existence of a rotation in the magnetic field that is consistent with a filamentary current system. The observed current structure can be interpreted as the ionospheric signature of a flux transfer event (FTE). In addition to this large-scale current structure there exist three small-scale filamentary current pairs. These current pairs close locally and thus, if our interpretation of this event as an FTE is correct, represent the first reported observations of FTE interior structure at low-altitudes.

Output sustainability to exogenous and endogenous shocks: evidence from emerging economies

This paper studies the impact of exogenous and endogenous shocks (exogenous shock is used interchangeably with external shock; endogenous shock is used interchangeably with domestic shock) on output fluctuations in post-communist countries during the 2000s. The first part presents the analytical framework and formulates a research hypothesis. The second part presents vector autoregressive estimation and analysis model proposed by Pesaran (2004) and Pesaran and Smith (2006) that relates bank real lending, the cyclical component of output and spreads and accounts for cross-sectional dependence (CD) across the countries. Impulse response functions show that exogenous positive shock lead to a drop in output sustainability for 9 over 12 Central Eastern European countries and Russia, when the endogenous shock is mild and ambiguous. Moreover, the effect of exogenous shock is more significant during the crises. Variance decompositions show that exogenous shock in the aftermath of crisis had a substantial impact on economic activity of emerging economies.

Long-run restrictions and survey forecasts of output, consumption and investment

We consider the extent to which long-horizon survey forecasts of consumption, investment and output growth are consistent with theory-based steady-state values, and whether imposing these restrictions on long-horizon forecasts will enhance their accuracy. The restrictions we impose are consistent with a two-sector model in which the variables grow at different rates in steady state. The restrictions are imposed by exponential-tilting of simple auxiliary forecast densities. We show that imposing the consumption-output restriction yields modest improvements in the long-horizon output growth forecasts, and larger improvements in the forecasts of the cointegrating combination of consumption and output: the transformation of the data on which accuracy is assessed plays an important role.

Processes driving intraseasonal displacements of the eastern edge of the warm pool: the contribution of westerly wind events

We investigate the processes responsible for the intraseasonal displacements of the eastern edge of the western Pacific warm pool (WPEE), which appear to play a role in the onset and development of El Niño events. We use 25 years of output from an ocean general circulation model experiment that is able to accurately capture the observed displacements of the WPEE, sea level anomalies, and upper ocean zonal currents at intraseasonal time scales in the western and central Pacific Ocean. Our results confirm that WPEE displacements driven by westerly wind events (WWEs) are largely controlled by zonal advection. This paper has also two novel findings: first, the zonal current anomalies responsible for the WPEE advection are driven primarily by local wind stress anomalies and not by intraseasonal wind-forced Kelvin waves as has been shown in most previous studies. Second, we find that intraseasonal WPEE fluctuations that are not related to WWEs are generally caused by intraseasonal variations in net heat flux, in contrast to interannual WPEE displacements that are largely driven by zonal advection. This study hence raises an interesting question: can surface heat flux-induced zonal WPEE motions contribute to El Niño–Southern Oscillation evolution, as WWEs have been shown to be able to do?