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Forecasting German Key Macroeconomic Variables Using Large Dataset Methods
Pirschel, Inske; Wolters, Maik - Institut für Weltwirtschaft (IfW) - 2014
of the different models, respectively. We find that overall the large Bayesian VAR and the Bayesian factor augmented VAR …
Persistent link: https://www.econbiz.de/10010887025
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Predicting GDP Components. Do Leading Indicators Increase Predictability?
Dovern, Jonas - Institut für Weltwirtschaft (IfW) - 2006
We use the concept of predictability as presented in Diebold and Kilian (2001) to assess how well the growth rates of … indicators can increase predictability of these time series. To this end, we propose an algorithm to select an optimal … predictability for all quarterly growth rates whereas yearly growth rates seem to be more predictable at short forecast horizons …
Persistent link: https://www.econbiz.de/10005818772
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Predicting Inflation in Euroland ; The Pstar Approach
Scheide, Joachim; Trabandt, Mathias - Institut für Weltwirtschaft (IfW) - 2000
Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...
Persistent link: https://www.econbiz.de/10005700619
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The accuracy of a forecast targeting central bank
Falch, Nina Skrove; Nymoen, Ragnar - Institut für Weltwirtschaft (IfW) - 2011
This paper evaluates inflation forecasts made by Norges Bank which is recognized as a successful forecast targeting central bank. It is reasonable to expect that Norges Bank produces inflation forecasts that are on average better than other forecasts, both 'naïve' forecasts, and forecasts from...
Persistent link: https://www.econbiz.de/10009647561
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Asymmetry and Spillover Effects in the North American Equity Markets
Canarella, Giorgio; Sapra, Sunil K.; Pollard, Stephen K. - Institut für Weltwirtschaft (IfW) - 2007
In this paper we extend the standard shock spillover model of Bekaert and Harvey (1997), Baele (2003) and Ng (2000) to account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike previous research, we model the conditional...
Persistent link: https://www.econbiz.de/10005097471
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Testing the New Keynesian Model on U.S. and Euro Area Data
Juselius, Mikael - Institut für Weltwirtschaft (IfW) - 2008
I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR …
Persistent link: https://www.econbiz.de/10005083406
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Measuring changes in the value of the numeraire
Reis, Ricardo; Watson, Mark W. - Institut für Weltwirtschaft (IfW) - 2007
This paper estimates a common component in many price series that has an equiproportional effect on all prices. Changes in this component can be interpreted as changes in the value of the numeraire since, by definition, they leave all relative prices unchanged. The first aim of the paper is to...
Persistent link: https://www.econbiz.de/10005755197
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Real wages and monetary policy transmission in the euro area
McCallum, Andrew; Smets, Frank - Institut für Weltwirtschaft (IfW) - 2007
We use the Factor-Augmented Vector Autoregression (FAVAR) approach of Bernanke, Boivin and Eliasz (2005) to estimate the effects of monetary policy shocks on wages and employment in the euro area. The use of a large data set comprising country, sectoral and euro area-wide data allows us to...
Persistent link: https://www.econbiz.de/10005818845
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How Resilient is the German Banking System to Macroeconomic Shocks?
Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - Institut für Weltwirtschaft (IfW) - 2008
to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …
Persistent link: https://www.econbiz.de/10005818895
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Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem
Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - Institut für Weltwirtschaft (IfW) - 2014
Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the rotation problem. The typical strategy in...
Persistent link: https://www.econbiz.de/10010886957