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Point and density forecasts for the euro area using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10010257225

Assessing forecast uncertainties in a VECX model for Switzerland : an exercise in forecast combination across models and observation windows

Assenmacher, Katrin (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003612607

Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MFTVP …

Persistent link: https://www.econbiz.de/10012154665

Does U.S. monetary policy respond to macroeconomic uncertainty?

Gomez, Thomas; Piccillo, Giulia - 2023

of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a … real-time, Bayesian estimation of a small monetary VAR with time-varying parameters. We use it to calculate the probability …

Persistent link: https://www.econbiz.de/10014265941

US monetary policy in a globalized world : presented at CESifo Area Conference on Macro, Money & International Finance, February 2016

Crespo Cuaresma, Jesús; Doppelhofer, Gernot; … - 2016

autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary … over time. US short-term rates decrease significantly in response to a monetary policy tightening abroad or a negative …

Persistent link: https://www.econbiz.de/10011444866

Time-varying dynamics of the German business cycle : a comprehensive investigation

Reif, Magnus - 2021

This paper provides insights into the time-varying dynamics of the German business cycle over the last five decades. To … do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi … over time. German trend inflation has strongly decreased and settled at a historically low level. GDP growth volatility …

Persistent link: https://www.econbiz.de/10012607593

Quarterly GDP estimates for the German States : new data for business cycle analyses and long-run dynamics

Lehmann, Robert; Wikman, Ida - 2023

To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The new data set will regularly be updated when...

Persistent link: https://www.econbiz.de/10013549105

Fiscal impacts of climate anomalies

Pintus, Francesco J.; Jacobs, Jan; Sterken, Elmer - 2024

The negative effects of climate change on output and productivity have been well documented in recent years. However, its impact on public finances has received little attention. This paper attempts to fill this gap by analysing the impact of climate anomalies on fiscal variables in a...

Persistent link: https://www.econbiz.de/10015158089

Confidence bands for impulse responses : Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

Persistent link: https://www.econbiz.de/10010246022

Sector specific news shocks in aggregate and sectoral fluctuations

Görtz, Christoph; Tsoukalas, John D. - 2013 - First version: March 2011, This version: May 2013

Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are...

Persistent link: https://www.econbiz.de/10009753003