Marco J. Lombardi

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Short-Term Forecasting of the Japanese Economy Using Factor Models

Staff Working Paper 2012-7 Claudia Godbout, Marco J. Lombardi
While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the recent financial crisis.

‘Lean' versus ‘Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession

Staff Working Paper 2010-37 Marco J. Lombardi, Philipp Maier
We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).

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