The ability of popular statistical methods, the Federal Reserve Greenbook and the Survey of Professional Forecasters to improve upon the forecasts of inflation and real activity from naive models has declined significantly during the most recent period of greater macroeconomic stability. The...

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

Forecasting using `diffusion indices' has received a good deal of attention in recent years. The idea is to use the common factors estimated from a large panel of data to help forecast the series of interest. This paper assesses the extent to which the forecasts are influenced by (i) how the...

This paper examines the role of currency and banking in the German financial crisis of 1931 for both Germany and the U.S. We specify a structural dynamic factor model to identify financial and monetary factors separately for each of the two economies. We find that monetary transmission through...

This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....

This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both "naive" forecasts, and forecasts from econometric models outside...

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period 1st January 2001 to 30th November 2005 with high frequency data i.e., one minute intervals, we have used GARCH models to compute volatilities and VAR models for the returns of...

We analyze the complete subset regression (CSR) approach of Elliott et al. (2013) in situations with many possible predictor variables. The CSR approach has the computational advantage that it can be applied even when the number of predictors exceeds the sample size. Theoretical results...

The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of non-linear models. We conduct an extensive analysis over a large...