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Mixed frequency structural models: estimation, and policy analysis

Foroni, Claudia; Marcellino, Massimiliano - Norges Bank - 2013

frequency data, combined with a proper estimation approach, can alleviate the temporal aggregation bias, mitigate the …

Persistent link: https://www.econbiz.de/10010787755

Aggregate bankruptcy probabilities and their role in explaining banks’ loan losses

Andreeva, Olga - Norges Bank - 2004

corporate borrowers, we construct a proxy reflecting risk profile of the banks’ loan portfolios. Aggregation within industries …

Persistent link: https://www.econbiz.de/10004990414

Simple rules versus optimal policy: what fits?

Bache, Ida Wolden; Brubakk, Leif; Maih, Junior - Norges Bank - 2010

the forecasting process. …

Persistent link: https://www.econbiz.de/10008620609

Forecasting the intraday market price of money

Monticini, Andrea; Ravazzolo, Francesco - Norges Bank - 2011

benchmarks in terms of point and density forecasting. The gains are particular high when the full distribution is predicted and …

Persistent link: https://www.econbiz.de/10009292070

Have standard VARs remained stable since the crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - Norges Bank - 2014

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

Persistent link: https://www.econbiz.de/10010905649

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - Norges Bank - 2012

volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …

Persistent link: https://www.econbiz.de/10010787777

A New Monthly Indicator of Global Real Economic Activity

Ravazzolo, Francesco; Vespignani, Joaquin L. - Norges Bank - 2015

In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...

Persistent link: https://www.econbiz.de/10011277157

Macro modelling with many models

Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - Norges Bank - 2009

from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …

Persistent link: https://www.econbiz.de/10004976646

Evaluating ensemble density combination - forecasting GDP and inflation

Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - Norges Bank - 2009

Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...

Persistent link: https://www.econbiz.de/10008472023

Does forecast combination improve Norges Bank inflation forecasts?

Bjørnland, Hilde C.; Gerdrup, Karsten; Jore, Anne Sofie; … - Norges Bank - 2009

. Furthermore, when comparing the whole forecasting period; model combination outperforms Norges Banks own point forecast for … and data to be used in the forecasting process. …

Persistent link: https://www.econbiz.de/10005481434