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Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and …

Persistent link: https://www.econbiz.de/10003963819

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

The information in systemic risk rankings

Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...

Persistent link: https://www.econbiz.de/10010532581

Network, market, and book-based systemic risk rankings

Leur, Michiel van de; Lucas, André - 2016

We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock...

Persistent link: https://www.econbiz.de/10011531142

Forecasting using DSGE models with financial frictions

Kolasa, Marcin; Rubaszek, Michał - In: International journal of forecasting 31 (2015) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011327140

A reappraisal of the Meese-Rogoff puzzle

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 1/3, pp. 30-40

Persistent link: https://www.econbiz.de/10010354125

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

Forecasting crude oil prices with DSGE models

Rubaszek, Michał - In: International journal of forecasting 37 (2021) 2, pp. 531-546

Persistent link: https://www.econbiz.de/10012792850

Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis

Hassani, Hossein; Rua, António; Silva, Emmanuel Sirimal; … - In: International journal of forecasting 35 (2019) 4, pp. 1263-1272

Persistent link: https://www.econbiz.de/10012305274

Machine learning with parallel neural networks for analyzing and forecasting electricity demand

Chen, Yi-Ting; Sun, Edward W.; Lin, Yi-Bing - In: Computational economics 56 (2020) 2, pp. 569-597

Persistent link: https://www.econbiz.de/10012272048