Econometric analysis of uncertainty and risk in empirical macroeconomics and finance: probabilistic prediction methods with dynamic forecast coupling

The project focuses on the problem of developing an optimal methodology (made available to practitioners) that can be used in macroeconomic forecasting (focusing on the description of prediction uncertainty) and in risk analyses conducted both in macroeconomics and finance. A better description of the uncertainty of macroeconomic forecasts is important from the point of view of those conducting economic policy and may also contribute to a better understanding of the role of uncertainty in economic analyses. It may also contribute to the development of better methods of forecasting changes in the economic situation. In addition, improved risk assessment methods are important in financial stability analyses – they can also contribute to the development of procedures and legal regulations contributing to the stability of the banking system and the entire financial system. The importance of this type of issues increases with the tightening of international economic connections. The practical importance of these issues is very significant (especially considering the recent financial crisis).

Project director:
dr Błażej Mazur (Assistant Professor)

Project budget:
214 480,00 zł

Financing institution:
National Science Centre (NCN)

Project duration:
 18.06.2019 – 17.06.2022