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Assessing forecast uncertainties in a VECX model for Switzerland : an exercise in forecast combination across models and observation windows
Assenmacher-Wesche, Katrin (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003612607
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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
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
, instead, boundedly rational: they have a finite-planning horizon, and they learn about the economy over time. Moreover, we …
Persistent link: https://www.econbiz.de/10012294890
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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
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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
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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
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Technology shocks and aggregate fluctuations in an estimated hybrid RBC model
Malley, James R.; Woitek, Ulrich - 2009
This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...
Persistent link: https://www.econbiz.de/10003833344
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Productivity shocks and aggregate cycles in an estimated endogenous growth model
Malley, James R.; Woitek, Ulrich - 2009
Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...
Persistent link: https://www.econbiz.de/10003850283
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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
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Productivity shocks and aggregate fluctuations in an estimated endogenous growth model with human capital
Malley, James R.; Woitek, Ulrich - 2011
Employing an endogenous growth model with human capital, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate fluctuations in output, consumption, investment and hours. Given the importance of accounting for both the...
Persistent link: https://www.econbiz.de/10009295333