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Short-Term Forecasts of Euro Area Real GDP Growth : An Assessment of Real-Time Performance Based on Vintage Data
Diron, Marie - 2021
Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...
Persistent link: https://www.econbiz.de/10013317625
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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 short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …
Persistent link: https://www.econbiz.de/10011605156
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Exploring the international linkages of the euro area: a global VAR analysis
Dées, Stéphane; di Mauro, Filippo; Pesaran, Hashem; … - 2005
This paper presents a quarterly global model linking individual country vector errorcorrecting 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 economy,...
Persistent link: https://www.econbiz.de/10011604614
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Identification of new Keynesian Phillips Curves from a global perspective.
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2008
New Keynesian Phillips Curves (NKPC) have been exten-sively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macro-economic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10011604938
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Flow of conjunctural information and forecast of euro area economic activity
Drechsel, Katja; Maurin, Laurent - 2008
Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled,...
Persistent link: https://www.econbiz.de/10011604971
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Using the Global Dimension to Identify Shocks with Sign Restrictions
Chudik, Alexander - 2011
Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...
Persistent link: https://www.econbiz.de/10013128288
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Understanding and Forecasting Aggregate and Disaggregate Price Dynamics
Bermingham, Colin - 2011
The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...
Persistent link: https://www.econbiz.de/10013122152
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Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test
Kolasa, Marcin - 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 short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …
Persistent link: https://www.econbiz.de/10013155104
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Forecasting and Stress Testing with Quantile Vector Autoregression
Chavleishvili, Sulkhan - 2019
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...
Persistent link: https://www.econbiz.de/10012859199
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Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR
Gross, Marco - 2013
solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and …
Persistent link: https://www.econbiz.de/10013078534