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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - Institut für Weltwirtschaft (IfW) - 2015

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...

Persistent link: https://www.econbiz.de/10011269107

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 ten countries from G10 during the Great Moderation period. The main findings are (i) the effect is highly heterogeneous from country to country; (ii) increases in trade openness...

Persistent link: https://www.econbiz.de/10010956145

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

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

Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators Under Real-Time Conditions

Dovern, Jonas; Ziegler, Christina - Institut für Weltwirtschaft (IfW) - 2008

In this paper we analyze the power of various indicators to predict growth rates of aggregate production using real-time data. In addition, we assess their ability to predict turning points of the economy. We consider four groups of indicators: survey data, composite indicators, real economic...

Persistent link: https://www.econbiz.de/10005566178

Testing for near I(2) trends when the signal to noise ratio is small

Juselius, Katarina - Institut für Weltwirtschaft (IfW) - 2014

Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our...

Persistent link: https://www.econbiz.de/10010956111

Evaluating the New Keynesian Phillips Curve under VAR-Based Learning

Fanelli, Luca - Institut für Weltwirtschaft (IfW) - 2008

This paper proposes the econometric evaluation of the New Keynesian Phillips Curve (NKPC) in the euro area, under a particular specification of the adaptive learning hypothesis. The key assumption is that agents? perceived law of motion is a Vector Autoregressive (VAR) model, whose coefficients...

Persistent link: https://www.econbiz.de/10005083372

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 (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...

Persistent link: https://www.econbiz.de/10005083406

Taking a DSGE Model to the Data Meaningfully

Franchi, Massimo; Jusélius, Katarina - Institut für Weltwirtschaft (IfW) - 2007

all basic assumptions underlying the theory model should be formulated as a set of testable hypotheses on the long …-run structure of a CVAR model, a so called ?theory consistent hypothetical scenario?. The advantage of such a scenario is that if … forces us to formulate all testable implications of the basic hypotheses underlying a theory model. We demonstrate that most …

Persistent link: https://www.econbiz.de/10005083420

Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy

Gottschalk, Jan; Höppner, Florian - Institut für Weltwirtschaft (IfW) - 2001

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...

Persistent link: https://www.econbiz.de/10005818900

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