Showing 1 - 10 of 14
In this paper we present an overview of theoretical and empirical contributions exploring the inter-linkages between financial factors and real economic activity. We first revisit the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models, and...
Persistent link: https://www.econbiz.de/10011171338
In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross-sectional size diverges to infinity. A complete statistical characterization of the limit aggregate is provided under general assumptions on the form and degree of heterogeneity of the...
Persistent link: https://www.econbiz.de/10005113626
The prominent role assigned to money by the ECB has been the subject of an intense debate because of the declining predictive power of the monetary aggregate M3 for inflation in recent years. This paper reassesses the information content of monetary analysis for future inflation using dynamic...
Persistent link: https://www.econbiz.de/10004980170
presents the analytical forecasting properties of the random coefficient exponential smoothing model in the multiple source of …
Persistent link: https://www.econbiz.de/10011099647
This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models. BMA is a computationally feasible method that allows us to explore the model space even in the presence of a large set of candidate predictors. We test the performance of BMA...
Persistent link: https://www.econbiz.de/10011099660
to forecast revisions. Third, we design a pseudo out-of-sample forecasting exercise and examine point and density …
Persistent link: https://www.econbiz.de/10011099722
forecasting inflation, while the BVARX model fares better in forecasting …
Persistent link: https://www.econbiz.de/10011171339
This paper documents the existence of a significant forecast error on crude oil futures, particularly evident since the mid-1990s, which is negative on average and displays a non-trivial cyclical component (risk premium). We show that the forecast error on oil futures could have been explained...
Persistent link: https://www.econbiz.de/10005609334
The process through which economic policy is conceived and decided cannot be simply described as the optimisation of a well-defined loss function subject to the constraints provided by a model of the economy. Even ignoring the forbidding difficulties of eliciting a stable and explicit loss...
Persistent link: https://www.econbiz.de/10005272099
The forecasting profession, especially when producing forecasts intended to support economic policy, does not currently … forecasting process which is criticised, on the grounds that it prevents a proper evaluation of any information concerning changes … even dangerous, and reduced forms are suggested as a preferable alternative. Drawing on the actual forecasting experience …
Persistent link: https://www.econbiz.de/10005272102