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Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a … point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of … predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. …

Persistent link: https://www.econbiz.de/10005504253

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E - C.E.P.R. Discussion Papers - 2012

-of-sample forecasting, and accuracy in the estimation of impulse response functions. …

Persistent link: https://www.econbiz.de/10011083403

Betting the House

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10011145419

Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

Amisano, Giovanni; Tristani, Oreste - C.E.P.R. Discussion Papers - 2007

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...

Persistent link: https://www.econbiz.de/10005067383

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

The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy

Wieland, Volker; Wolters, Maik H - C.E.P.R. Discussion Papers - 2010

This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...

Persistent link: https://www.econbiz.de/10008530347

Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi

Auer, Raphael - C.E.P.R. Discussion Papers - 2015

Import competition from China is pervasive in the sense that for many good categories, the competitive environment that US firms face in these markets is strongly driven by the prices of Chinese imports, and so is their pricing decision. This paper quantifies the effect of the...

Persistent link: https://www.econbiz.de/10011145441

Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - C.E.P.R. Discussion Papers - 2009

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...

Persistent link: https://www.econbiz.de/10008558583

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014

We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility dynamics. When applied to quarterly U.S. GDP growth data,...

Persistent link: https://www.econbiz.de/10011083475

Market Structure and Exchange Rate Pass-Through

Auer, Raphael; Schoenle, Raphael - C.E.P.R. Discussion Papers - 2015

We study firm-level pricing behavior through the lens of exchange rate pass-through and provide new evidence on how firm-level market shares and price complementarities affect pass-through decisions. Using micro-data from U.S. import prices, we identify two facts: First, exactly the firms that...

Persistent link: https://www.econbiz.de/10011276376

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