This paper analyzes the time-varying credibility of the Fed's inflation target in an empirical macro model with asymmetric information, where the public has to learn about the actual inflation target from the Fed's interest rate policy. To capture the evolving communication strategy of the Fed,...

We propose a new approach to sample unobserved states conditional on available data in (conditionally) linear unobserved component models when some of the observations are missing. The approach is based on the precision matrix of the states and model variables, which is sparse and banded in many...

This paper evaluates the quality of survey forecasts, their accuracy and unbiasedness, and their overall consistency. The paper also tries to find out whether the relationships between economic variables are the same in survey data and in the actual data. In other words we analyze whether the...

This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also...

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF and Consensus Economics compared to their...

We study how millions of highly granular and weekly household scanner data combined with novel machine learning techniques can help to improve the nowcast of monthly German inflation in real time. Our nowcasting exercise targets three hierarchy levels of the official consumer price index. First,...

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we incorporate Google search data into a Bridge Equation Model, a...

The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...