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Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks

Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - Sveriges Riksbank - 2005

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

Persistent link: https://www.econbiz.de/10005649027

Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model

Adolfson, Malin; Lindé, Jesper; Villani, Mattias - Sveriges Riksbank - 2005

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

Persistent link: https://www.econbiz.de/10005649034

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - Sveriges Riksbank - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10005649059

Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - Sveriges Riksbank - 2005

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

Persistent link: https://www.econbiz.de/10005649081

Can inflation forecasts be improved by using alternative measures of labour market slack?

Flodberg, Caroline; Hesselman, Marie; Löf, Mårten - Sveriges Riksbank - 2022

Persistent link: https://www.econbiz.de/10013462613

Involuntary Unemployment and the Business Cycle

Christiano, Lawrence J.; Trabrandt, Mathias; Walentin, Karl - Sveriges Riksbank - 2010

Can a model with limited labor market insurance explain standard macro- and labor market data jointly? We seek to construct a monetary model in which: i) the unemployed are worse off than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the...

Persistent link: https://www.econbiz.de/10008516098

Housing collateral and the monetary transmission mechanism

Walentin, Karl; Sellin, Peter - Sveriges Riksbank - 2010

In this paper our main aim is to quantify the role that housing collateral plays for the monetary transmission mechanism. Furthermore, we want to explore the implications of the increase in household indebtedness, and specifically the loan-to-value ratio, in the last two decades. We set up a two...

Persistent link: https://www.econbiz.de/10008516099

Introducing Financial Frictions and Unemployment into a Small Open Economy Model

Christiano, Lawrence J.; Trabandt, Mathias; Walentin, Karl - Sveriges Riksbank - 2007

Which are the main frictions and driving forces of business cycle dynamics in a small open economy? To answer this question we extend what is becoming the standard new Keynesian model in three dimensions. First, we incorporate frictions in the financing of the capital stock. Second, we model...

Persistent link: https://www.econbiz.de/10005034154

Block Kalman filtering for large-scale DSGE models

Strid, Ingvar; Walentin, Karl - Sveriges Riksbank - 2008

In this paper block Kalman filters for Dynamic Stochastic General Equilibrium models are presented and evaluated. Our approach is based on the simple idea of writing down the Kalman filter recursions on block form and appropriately sequencing the operations of the prediction step of the...

Persistent link: https://www.econbiz.de/10005423749

Monetary Policy Regimes and the Volatility of Long-Term Interest Rates

Queijo von Heideken, Virginia - Sveriges Riksbank - 2008

This paper addresses two important questions that have, so far, been studied separately in the literature. First, the paper aims at explaining the high volatility of long-term interest rates observed in the data, which is hard to replicate using standard macro models. Building a small-scale...

Persistent link: https://www.econbiz.de/10005423759