pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE … react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts … evidence of autonomous variance breaks and inflation gap persistence. Through a real-time out-of-sample forecasting exercise … quarterly inflation relative to an extended range of forecasting models that are typically used in the literature. …

use information from a large data set containing a variety of indicators of supply and demand conditions across major … partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …