This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared....

Using generalised variance decompositions from vector autoregressions, we analyse cross-country, cross-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes indices of monetary, fiscal and trade policy uncertainty...

We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...

The price of gold is influenced by a wide range of local and global factors such as commodity prices, interest rates, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is a notoriously difficult task and the main problem...

This paper analyses the interdependence of policy uncertainty from 1985 to 2017 across six different categories of US economic policy: Monetary, fiscal, healthcare, national security, regulatory, and trade policy. To this end, we apply the Diebold and Yilmaz (2012, 2014) connectedness index...

In recent times DSGE models came more and more into the focus of forecasters and showed promising forecast performances for the short term. We contribute to the existing literature by analyzing the forecast power of a DSGE model including endogenous growth for the medium run. Instead of only...

We highlight how detrending within Structural Vector Autoregressions (SVAR) is directly linked to the shock identification. Consequences of trend misspecification are investigated using a prototypical Real Business Cycle model as the Data Generating Process. Decomposing the different sources of...

The deviance information criterion (DIC) has been widely used for Bayesian model comparison. However, recent studies have cautioned against the use of the DIC for comparing latent variable models. In particular, the DIC calculated using the conditional likelihood (obtained by conditioning on the...

The price of gold is influenced by a wide range of local and global factors such as commodity prices, interest rates, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is a notoriously difficult task and the main problem...

In recent times DSGE models came more and more into the focus of forecasters and showed promising forecast performances for the short term. We contribute to the existing literature by analyzing the forecast power of a DSGE model including endogenous growth for the medium run. Instead of only...