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The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model

Kerssenfischer, Mark - 2017

Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...

Persistent link: https://www.econbiz.de/10011636064

Analyzing the relationships between survey forecasts for different variables and countries

Paloviita, Maritta; Viren, Matti - 2012

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...

Persistent link: https://www.econbiz.de/10012503030

Are individual survey expectations internally consistent?

Paloviita, Maritta; Viren, Matti - 2012

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...

Persistent link: https://www.econbiz.de/10012503031

Do inflation expectations improve model-based inflation forecasts?

Bańbura, Marta; Leiva-León, Danilo; Menz, Jan-Oliver - 2021

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...

Persistent link: https://www.econbiz.de/10012792526

Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

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 version of which usually belongs to the suite of forecasting models …

Persistent link: https://www.econbiz.de/10011667109

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

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

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

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...

Persistent link: https://www.econbiz.de/10010465566

Comparing models for forecasting the yield curve

Matsumura, Marco Shinobu; Moreira, Ajax - 2015

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...

Persistent link: https://www.econbiz.de/10012053243

Assessing the uncertainty in central banks' inflation outlooks

Knüppel, Malte; Schultefrankenfeld, Guido - 2019

Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...

Persistent link: https://www.econbiz.de/10011962843

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