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Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - Deutsche Bundesbank - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large …

Persistent link: https://www.econbiz.de/10005083173

Loan supply in Germany during the financial crisis

Busch, Ulrike; Scharnagl, Michael; Scheithauer, Jan - Deutsche Bundesbank - 2010

Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, we employ Bayesian vector autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of...

Persistent link: https://www.econbiz.de/10008509090

Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate

Reitz, Stefan - Deutsche Bundesbank - 2002

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10005059033

Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment

Wang, Mu-Chun - Deutsche Bundesbank - 2008

represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic …-horizon forecasting and structural models should be used in long-horizon forecasting. Our paper compareds both state-of-the art data …

Persistent link: https://www.econbiz.de/10005083198

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011

We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...

Persistent link: https://www.econbiz.de/10009493746

Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - Deutsche Bundesbank - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Persistent link: https://www.econbiz.de/10010957109

Bayesian estimation of a DSGE model with asset prices

Kliem, Martin; Uhlig, Harald - Deutsche Bundesbank - 2013

This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...

Persistent link: https://www.econbiz.de/10010957151

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - Deutsche Bundesbank - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10005083172

Identifying the role of labor markets for monetary policy in an estimated DSGE model

Christoffel, Kai Philipp; Küster, Keith; Linzert, Tobias - Deutsche Bundesbank - 2006

We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...

Persistent link: https://www.econbiz.de/10005083212

Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities

Scharnagl, Michael; Schumacher, Christian - Deutsche Bundesbank - 2007

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a … empirical question whether the group of monetary variables is relevant for forecasting euro area inflation. In our application … and non-monetary indicators together play an important role for forecasting inflation, whereas the isolated information …

Persistent link: https://www.econbiz.de/10005083269