quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …

their location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in … performance is somewhat better for GDP growth than for inflation, although in the former case it diminishes substantially with the … forecast horizon. In addition, relative to the proposed benchmarks, we report evidence of some improvement in the performance …

rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated …

matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities’ reaction functions, we show that this simple method can improve forecasting performance and provide …

quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for …This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a …

Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of …

optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when … the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast …

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a … Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking …

aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed … with simulations. Two examples based on European unemployment and inflation series are used to illustrate the virtue of the … theoretical setup and the forecasting results. …