Crespo, Ignacio
Contact Information
Available for interviews at
European Job Market for Economists (EEA)
Allied Social Science Associations (ASSA)
Research interests
Macroeconometrics. Financial Econometrics. Time Series. Forecasting. Machine Learning
Placement Officer
Libertad González [email protected]
References
Christian Brownlees (Advisor) [email protected] |
David Rossell [email protected] |
Barbara Rossi [email protected] |
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Research
"Superior Predictive Ability in Unstable Environments with an Application to Downside Risk Forecasts" (Job Market Paper)
This paper introduces the Fluctuant-SPA (FSPA) test, a methodology for evaluating superior predic- tive ability (SPA) in unstable environments. The highlight of the FSPA test is that it allows to detect superior predictive ability when it is time varying. We showcase our test using a comprehensive assess- ment of downside risk forecasts to the U.S. economy over a 45-year span, considering a large collection of forecast methodologies. A number of findings emerge from the empirical application. First, there is sub- stantial heterogeneity in forecasting performance across time. Second, the quantile regression equipped with a financial conditions index – a major benchmark in this literature – outperforms its alternatives after the Global Financial Crisis (2007-2009), yet it is surpassed in the periods leading up to the crisis. These local findings contrast with recent global assessments where this benchmark was found inferior to several alternatives. Overall, the empirical application showcases that the FSPA is particularly useful for forecast evaluation in unstable environments.
"Does Anything Beat a Factor Model? Comparing Predictive Accuracy in Large Panels of Macroeconomic Time Series" (with C. Brownlees and E. Fonseca Mendes)
We assess the evidence of superior predictive ability of the factor model against a comprehensive set of alternative methods for macroeconomic forecasting using the FRED database. For this purpose we introduce a testing procedure that allows to test the null of superior predictive ability of a benchmark method uniformly over both a set of alternative methods and a set of series. Results show that the factor model is not outperformed when forecasting the policy relevant variables at short horizons. When considering longer forecasting horizon we have enough evidence against its dominance and simple methods drive the results. Moreover, heterogeneous results emerge when forecasting different categories of the FRED database. Our results highlight the importance of carrying out uniform testing when assessing predictive ability over a collection of series.
Research in Progress
"Do Brazilian Municipalities Respond Asymmetrically to a Common Macroeconomic Shock? "(with B. L. Delalibera and V. Rodrigues)