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Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …

Persistent link: https://www.econbiz.de/10008468530

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …

Persistent link: https://www.econbiz.de/10008468646

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …

Persistent link: https://www.econbiz.de/10008528528

Forecasting EMU Macroeconomic Variables

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

variables. Hence, both the fiscal and the monetary authorities have developed aggregate forecasting models, along the lines … over-fit in sample, we assess their performance in a real time forecasting framework. It turns out that for several … forecasting and modeling EMU variables. …

Persistent link: https://www.econbiz.de/10005124368

Classical time-varying FAVAR models - Estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

expectations and long-term interest rates to a same-sized monetary policy shock has decreased since the early-1980s. …

Persistent link: https://www.econbiz.de/10008921778

Markov-switching MIDAS models

Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...

Persistent link: https://www.econbiz.de/10008854481

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …

Persistent link: https://www.econbiz.de/10011083444

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013

This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...

Persistent link: https://www.econbiz.de/10011084707

Leading Indicators: What Have We Learned?

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

the most relevant recent developments in this field of economic forecasting. To begin with, we analyse the problem of … leading indicator based forecasts, and review the recent literature on the forecasting performance of leading indicators. …

Persistent link: https://www.econbiz.de/10005666459