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Forecasting German Key Macroeconomic Variables Using Large Dataset Methods
Pirschel, Inske; Wolters, Maik - Institut für Weltwirtschaft (IfW) - 2014
provide the most precise forecasts for a set of eleven core macroeconomic variables, including GDP growth and CPI inflation …
Persistent link: https://www.econbiz.de/10010887025
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Global Inflation
Ciccarelli, Matteo; Mojon, Benoît - Institut für Weltwirtschaft (IfW) - 2007
This paper shows that ination in industrialized countries is largely a global phenom- enon. First, inations of (22) OECD countries have a common factor that alone accounts for nearly 70% of their variance. This large variance share that is associated to Global Ination is not only due to the...
Persistent link: https://www.econbiz.de/10005700550
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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 … margin. An explanation in terms of too high speed of adjustment to the inflation target is supported by the evidence. Norges …
Persistent link: https://www.econbiz.de/10009647561
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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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Macroeconomic Forecasts and the Nature of Economic Shocks in Germany
Döpke, Jörg - Institut für Weltwirtschaft (IfW) - 2000
The paper investigates the sources of macroeconomic forecast errors in Germany. The predictions of the so-called "six leading" research institutes are analyzed. The forecast errors are discussed within an aggregate demand/supply scheme. Structural Vector Autoregressive Models are estimated to...
Persistent link: https://www.econbiz.de/10005755268
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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 various components of German GDP can be forecasted. In particular, it is analyzed how well different commonly used leading indicators can increase predictability of these time...
Persistent link: https://www.econbiz.de/10005818772
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Model Pooling and Changes in the Informational Content of Predictors: an Empirical Investigation for the Euro Area
Schwarzmüller, Tim - Institut für Weltwirtschaft (IfW) - 2015
I study the performance of single predictor bridge equation models as well as a wide range of model selection and pooling techniques, including Mallows model averaging and Cross-Validation model averaging, for short-term forecasting euro area GDP growth. I explore to what extend model selection...
Persistent link: https://www.econbiz.de/10011162483
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The changing dynamics of US inflation persistence: a quantile regression approach
Tillmann, Peter; Wolters, Maik - Institut für Weltwirtschaft (IfW) - 2014
We examine both the degree and the structural stability of inflation persistence at different quantiles of the … conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation … rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a …
Persistent link: https://www.econbiz.de/10010905561
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Globalisation effect on inflation in the great moderation era: New evidence from G10 countries
Qin, Duo; He, Xinhua - Institut für Weltwirtschaft (IfW) - 2012
Dynamic econometric models are carefully built to analyse counterfactually the globalisation effect on inflation for … impact as far as inflation persistence is concerned while the impact on inflation variability can be positive as well as … negative. Overall, globalisation is found to have contributed positively to lowering rather than stabilising inflation during …
Persistent link: https://www.econbiz.de/10010956145
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(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?
Babutsidze, Zakaria - Institut für Weltwirtschaft (IfW) - 2010
This paper presents a model of asymmetric (S,s) pricing. We investigate whether the asymmetry on micro level is carried over on macro level and what is the role of agent heterogeneity in the process. We look at two kinds of asymmetries: (i) asymmetric output responses monetary shocks and (ii)...
Persistent link: https://www.econbiz.de/10008597181