Academy of Finland
Funding decision
Applicant / Contact person Nyberg, Henri
Organisation University of Turku
Project title Econometric Learning Methods for Macroeconomic and Financial Applications
Decision No. 321968
Decision date 24.05.2019
Funding period 01.09.2019 - 31.08.2023
Funding 480 000
WebFOCUS Report
Project description
The objective of this project is to develop new econometric learning methods for macroeconomic and financial applications. The new methods are relying on the recent rapid development in machine and statistical learning, leading to new methodological tools which describe and predict macroeconomic and financial time series better than the past methods. The new methods are partly based on the directional predictability, such as major turning points in business cycles and the periods of financial crises, and a stronger nexus between econometric forecasting and the subsequent use of forecasts in decision making. In addition to the methodological impact, the expected empirical results shed light on the behavior of the macroeconomy and financial markets, and their linkages, with new implications to the development of theoretical macroeconomic and asset pricing models.