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European inflation expectations dynamics
Slacalek, Jirka; Fritsche, Ulrich; Dovern, Jonas; … - Deutsche Bundesbank - 2005
expectation models, households in the sticky information environment update their expectations sporadically rather than … experts? inflation expectations, we find that the model adequately captures the dynamics of household inflation expectations …
Persistent link: https://www.econbiz.de/10005083127
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Classical time-varying FAVAR models - estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011
of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long …
Persistent link: https://www.econbiz.de/10009493746
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Forecasting Government Bond Yields with Large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …
Persistent link: https://www.econbiz.de/10008468530
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Forecasting with Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010
latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …
Persistent link: https://www.econbiz.de/10008468646
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Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …
Persistent link: https://www.econbiz.de/10008528528
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Forecasting EMU Macroeconomic Variables
Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002
variables. Hence, both the fiscal and the monetary authorities have developed aggregate forecasting models, along the lines … over-fit in sample, we assess their performance in a real time forecasting framework. It turns out that for several … forecasting and modeling EMU variables. …
Persistent link: https://www.econbiz.de/10005124368
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Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
expectations and long-term interest rates to a same-sized monetary policy shock has decreased since the early-1980s. …
Persistent link: https://www.econbiz.de/10008921778
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Markov-switching MIDAS models
Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008854481
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Common Drifting Volatility in Large Bayesian VARs
Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012
The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...
Persistent link: https://www.econbiz.de/10011083279
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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013
for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …
Persistent link: https://www.econbiz.de/10011083444