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an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations … exchange rate predictability by macroeconomic fundamentals. Finally, an economic evaluation of the different forecast models …
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We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
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