Short- and medium-term economic forecasts

WIFO issues a quarterly economic forecast for the current and the coming year, which incorporates the expertise of all Research Groups. The forecasts reflect the most probable scenario for economic growth from the current perspective under the given assumptions and address possible upside and downside risks. In addition, a medium-term forecast for Austria and the global economy over a five-year forecast horizon is prepared annually and updated after six months.


Forecasting models


WIFO Working Papers, 2020, (614), 42 pages
Online since: 27.10.2020 0:00
We propose a modelling approach involving a series of small-scale factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. GDP forecasts are established across the production, income and expenditure accounts within a disaggregated approach. This method merges the benefits of large-scale macroeconomic and small-scale factor models, rendering our Cluster of Dynamic Factor Models (CDFM) useful for model-consistent forecasting on a large scale. While the CDFM has a simple structure, its forecasts outperform those of a wide range of competing models and of professional forecasters. Moreover, the CDFM allows forecasters to introduce their own judgment and hence produce conditional forecasts.
Klaus S. Friesenbichler, Christian Glocker, Werner Hölzl (WIFO), Philipp Wegmüller (SECO)
Ein neues Modell für die kurzfristige Prognose der Herstellung von Waren und der Ausrüstungsinvestitionen (A New Model for Short-term Forecasting of Manufacturing and Equipment Investments)
WIFO-Monatsberichte, 2018, 91(9), pp.651-661
Online since: 25.09.2018 0:00
Seit Juni 2018 unterstützt ein dynamisches Faktormodell die WIFO-Prognose der Wertschöpfung der Sachgüterproduktion (Herstellung von Waren) und der Ausrüstungsinvestitionen. Wie eine Überprüfung seiner Prognoseeigenschaften zeigt, hat es einen hohen Vorlauf und kann daher einen wichtigen Input zur Expertenprognose leisten.
We estimate quarterly cointegrating vector autoregressive models for the Eurozone and the USA based on long-run restrictions derived from a dynamic open economy model. Three long-run relations between the Eurozone and the USA emerge: relative purchasing power parity, international interest parity and a stationary output gap between the two economies. Generalised impulse response functions show differences in the dynamic adjustment of the two economies. Due to the I(1)-characteristic of both output series and the stability conditions imposed by the long-run equilibrium relationships, shocks to the model produce level effects only, while growth rates converge to their long-run averages.