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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - Center for Financial Studies - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and …
Persistent link: https://www.econbiz.de/10010958731
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The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy
Wieland, Volker; Wolters, Maik - Center for Financial Studies - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and …
Persistent link: https://www.econbiz.de/10008504547
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - Center for Financial Studies - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010986379
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Risks to price stability, the zero lower bound and forward guidance: A real-time assessment
Coenen, Günter; Warne, Anders - Center for Financial Studies - 2013
is derived from policy-makers' preferences about inflation outcomes, we first show that downside risks to price stability … future inflation can provide insurance against the materialisation of such upside risks. …
Persistent link: https://www.econbiz.de/10010986359
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Learning to Forecast and Cyclical Behavior of Output and Inflation
Adam, Klaus - Center for Financial Studies - 2003
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with …. While average output and inflation result the same as under rational expectations, higher moments differ substantially …: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of …
Persistent link: https://www.econbiz.de/10010958541
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Learning to Forecast and Cyclical Behavior of Output and Inflation
Adam, Klaus - Center for Financial Studies - 2003
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with …. While average output and inflation result the same as under rational expectations, higher moments differ substantially …: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of …
Persistent link: https://www.econbiz.de/10005138849
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010986387
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Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - Center for Financial Studies - 1999
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10010958750
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Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10004987254
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Core inflation in the Euro area: Evidence from the structural VAR approach
Hahn, Elke - Center for Financial Studies - 2002
Against the difficult background of analysing aggregated data in this paper core inflation in the euro area is … misleading indicator for monetary policy in the euro area. We furthermore compare our core inflation measure to the wide … coincident indicator of HICP inflation. Assessing the robustness of our core inflation measure we carefully conclude that it …
Persistent link: https://www.econbiz.de/10010958586