Narrow search
Showing 1 - 10 of 786
Cover Image
Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012119825
Cover Image
The macroeconomic effects of inflation uncertainty
Metiu, Norbert; Prieto, Esteban - 2023
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level … increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …
Persistent link: https://www.econbiz.de/10014436184
Cover Image
Monetary policy regimes in Brazil
Lima, Elcyon Caiado Rocha; Maka, Alexis; Mendonça, … - 2015
This article estimates the monetary policy rule followed by the Brazilian Central Bank for setting its main policy instrument, the SELIC rate, for the period after the Real Plan. In order to overcome the uncertainty over the dates at which changes in parameters occurred, this paper uses...
Persistent link: https://www.econbiz.de/10012053320
Cover Image
Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Eraslan, Sercan; Ali, Faek Menla - 2018
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and stock returns for a wide range of net...
Persistent link: https://www.econbiz.de/10011903691
Cover Image
The information content of inflation swap rates for the long-term inflation expectations of professionals : evidence from a MIDAS analysis
Hanoma, Ahmed; Nautz, Dieter - 2018
Long-term inflation expectations taken from the Survey of Professional Forecasters are a major source of information … information content of inflation-linked swap rates for the next survey outcome. Using a mixed data sampling approach, we find that … professionals account for the daily dynamics of inflation swap rates when they submit their long-term inflation expectations. We …
Persistent link: https://www.econbiz.de/10011922197
Cover Image
Full Bayesian inference for asymmetric Garch models with student-t innovations
Fonseca, Thaís C. O. da; Cerqueira, Vinícius dos Santos; … - 2016
In this work, we consider modeling the past volatilities through an asymmetric generalised autoregressive conditional heteroskedasticity (Garch) model with heavy tailed sampling distributions. In particular, we consider the Student-t model with unknown degrees of freedom and indicate how it may...
Persistent link: https://www.econbiz.de/10012059451
Cover Image
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709
Cover Image
Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - 2022
This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...
Persistent link: https://www.econbiz.de/10013472790
Cover Image
Precision-based sampling for state space models that have no measurement error
Mertens, Elmar - 2023
This article presents a computationally efficient approach to sample from Gaussian state space models. The method is an instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known as precision). The novelty is to handle cases...
Persistent link: https://www.econbiz.de/10014336195
Cover Image
Characterizing the financial cycle : evidence from a frequency domain analysis
Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2015
A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach suitable to test these hypotheses. We...
Persistent link: https://www.econbiz.de/10011299043