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Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...
Persistent link: https://www.econbiz.de/10008553067
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Empirical Simultaneous Confidence Regions for Path-Forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2010
probabilistic assessment about the set of possible trajectories that the variable may follow over time is summarized by the … techniques are applied to provide confidence bands around the Fed and Bank of England real-time path-forecasts of growth and …
Persistent link: https://www.econbiz.de/10008468580
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Measuring Output Gap Uncertainty
Garratt, Anthony; Mitchell, James; Vahey, Shaun - C.E.P.R. Discussion Papers - 2010
We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector … detrending filters. The resulting ensemble produces well-calibrated forecast densities for US inflation in real time, in contrast …
Persistent link: https://www.econbiz.de/10008468622
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Path Forecast Evaluation
Jordà, Òscar; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008
A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous confidence regions that adjust for any covariance between the elements...
Persistent link: https://www.econbiz.de/10005123779
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On the Fit and Forecasting Performance of New Keynesian Models
Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - C.E.P.R. Discussion Papers - 2005
The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR),...
Persistent link: https://www.econbiz.de/10005124071
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Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management
Pesaran, M Hashem; Zaffaroni, Paolo - C.E.P.R. Discussion Papers - 2005
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10005067642
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The Transmission Mechanism in a Changing World
Artis, Michael J; Galvão, Ana Beatriz C; Marcellino, … - C.E.P.R. Discussion Papers - 2003
may have changed over time. By employing a model that allows for parameter changes across regimes, we show that …
Persistent link: https://www.econbiz.de/10005498077
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No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014
) the possible mispecification of an underlying Gaussian Affine Term Structure Model (GATSM) and (ii) the time varying … for the term structure, specifying a common, multiplicative, time varying volatility for the VAR disturbances. Results … not only the prior variance but also the prior mean of the VAR coefficients. Our results show that both time variation in …
Persistent link: https://www.econbiz.de/10011083412
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
2008 recession could have been forecast using the latter class of time-varying threshold models. …
Persistent link: https://www.econbiz.de/10011083435
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A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics
Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014
We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility dynamics. When applied to quarterly U.S. GDP growth data,...
Persistent link: https://www.econbiz.de/10011083475