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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
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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
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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
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Bayesian VARs with Large Panels
Banbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2007
forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy …. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for …
Persistent link: https://www.econbiz.de/10005666834
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Forecasting Exchange Rates with a Large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …
Persistent link: https://www.econbiz.de/10005789104
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Forecasting Time Series Subject to Multiple Structural Breaks
Pesaran, M Hashem; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004
This Paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …
Persistent link: https://www.econbiz.de/10005791366
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Bayesian VARs: Specification Choices and Forecast Accuracy
Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …
Persistent link: https://www.econbiz.de/10008854551
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Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - C.E.P.R. Discussion Papers - 2010
In this paper, we construct a large Bayesian Vector Autoregressive model (BVAR) for the Euro Area that captures the complex dynamic inter-relationships between the main components of the Harmonized Index of Consumer Price (HICP) and their determinants. The model is estimated using Bayesian...
Persistent link: https://www.econbiz.de/10008468558
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Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
Favero, Carlo A.; Gozluklu, Arie; Tamoni, Andrea - C.E.P.R. Discussion Papers - 2010
model. The joint significance of MY and dpt in long-horizon forecasting regressions for market returns explain the mixed …
Persistent link: https://www.econbiz.de/10008468657
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On the Fit and Forecasting Performance of New Keynesian Models
Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - C.E.P.R. Discussion Papers - 2005
The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR),...
Persistent link: https://www.econbiz.de/10005124071