provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology … from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model …

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost … growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation …. There is, however, some support in favour of the (reduced form) AWM inflation equation. It is the only model that …

-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …

provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with …

A popular macroeconomic forecasting strategy takes combinations across many models to hedge against instabilities of … studies of this forecasting strategy exclude Dynamic Stochastic General Equilibrium (DSGE) models, despite the widespread use … of these models by monetary policymakers. In this paper, we combine inflation forecast densities utilizing an ensemble …

-varying parameter specification in density forecasting. …

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. …