In this paper we analyse the effect of model uncertainty on the wealth and utility outcomes of an investment decision. We compute optimal portfolio weights for domestic and foreign assets and using these weights we construct end investment horizon wealth and utility ratios. Model uncertainty is...

This paper presents a quarterly global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single...

This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts for a portfolio of assets. To achieve this goal, we unify past multivariate models by using a general copula framework and we propose many new extensions. We differentiate the...

This paper investigates the precision of multivariate models of the output gap and considers their implications for the formulation of macroeconomic policy. Multivariate models identify the gap by including information from structural economic relationships, such as Okun's Law, the Phillips...

This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...

VAR modelling is a frequent technique in econometrics for assumed linear processes. VAR modelling offers some desirable features such as relatively simple procedures for model specification and the possibility of making a quick and non-iterative maximum likelihood estimation of the system...

We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over forecasting the disaggregates and aggregating those forecasts, or using only aggregate information in forecasting the aggregate. An implication...