We describe and assess the usefulness of a newly-constructed database of electronic payments, comprised of debit and credit card transactions as well cheques that clear through the banking system, as indicators of current GDP growth. Apart from capturing a broad range of spending activity, these...

A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for empirical formulations of countercyclical monetary policy in many models. In this paper, we provide an empirical evaluation of the usefulness of alternative...

We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...

Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast revisions in other series and (ii) the problems statitical...

A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cycle shocks enter the trend and that...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...

Discrete time stochastic volatility models (hereafter SVOL) are noticeably harder to estimate than the successful ARCH family of models. In this paper, we develop methods for finite sample inference, smoothing, and prediction for a number of univariate and multivariate SVOL models. Specifically,...

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...

We examine the prevalence of data, specification, and parameter uncertainty in the formation of simple rules which mimic monetary policy-making decisions. Our approach is to build real-time datasets, simulate a real-time policy-setting environment, and provide a set of prescriptions and...

The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via...