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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

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

Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 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/10008469835

Forecasting Exchange Rates with a Large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Persistent link: https://www.econbiz.de/10005106322

Forecasting Large Datasets with Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2007

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 with the most promising …

Persistent link: https://www.econbiz.de/10005106382

Forecasting with Dynamic Models using Shrinkage-based Estimation

Carriero, Andrea; Kapetanios, George; Marcellino, … - School of Economics and Finance, Queen Mary - 2008

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

Persistent link: https://www.econbiz.de/10005106394

A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK

Carriero, Andrea; Marcellino, Massimiliano - School of Economics and Finance, Queen Mary - 2007

In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the...

Persistent link: https://www.econbiz.de/10005106395