Showing 1 - 10 of 413
While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …
Persistent link: https://www.econbiz.de/10011083425
There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically...
Persistent link: https://www.econbiz.de/10008458290
We defend the forecasting performance of the FOMC from the recent criticism of Christina and David Romer. Our argument …
Persistent link: https://www.econbiz.de/10008477186
This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin and Small, 2005. The method consists in bridging...
Persistent link: https://www.econbiz.de/10005124140
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving...
Persistent link: https://www.econbiz.de/10005124339
, produces a degree of forecasting accuracy of the federal funds rate similar to that of the markets, and, for output and …
Persistent link: https://www.econbiz.de/10005497952
equilibrium (DSGE) models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of … central banks. First, we show that the forecasting performance of such models compares well with atheoretical vector …
Persistent link: https://www.econbiz.de/10005114391
This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...
Persistent link: https://www.econbiz.de/10008692313
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...
Persistent link: https://www.econbiz.de/10008921778
Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...
Persistent link: https://www.econbiz.de/10011213304