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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
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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
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Global business cycles: convergence or decoupling?
Kose, M. Ayhan; Otrok, Christopher M.; Prasad, Eswar S. - Deutsche Bundesbank - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10005083323
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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
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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2005
macroeconomic policy analysis and forecasting. By means of an empirical application we demonstrate that these models turn out to be …
Persistent link: https://www.econbiz.de/10005083092
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Forecasting with panel data
Baltagi, Badi H. - Deutsche Bundesbank - 2006
This paper gives a brief survey of forecasting with panel data. Starting with a simple error component regression and …
Persistent link: https://www.econbiz.de/10005083228
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Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey
Knetsch, Thomas A. - Deutsche Bundesbank - 2004
Inventory fluctuations are an important phenomenon in business cycles. However, the preliminary data on inventory investment as published in the German national accounts are tremendously prone to revision and therefore ill-equipped to diagnose the current stance of the inventory cycle. The Ifo...
Persistent link: https://www.econbiz.de/10005083223
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - Deutsche Bundesbank - 2010
Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...
Persistent link: https://www.econbiz.de/10008509092
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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
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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