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Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Diron, Marie - 2006

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10011604668

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

Persistent link: https://www.econbiz.de/10011605156

The yield curve as a predictor and emerging economies

Mehl, Arnaud - 2006

-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …

Persistent link: https://www.econbiz.de/10011604737

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - 2007

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...

Persistent link: https://www.econbiz.de/10011604877

Forecasting inflation and tracking monetary policy in the euro area: does national information help?

Cristadoro, Riccardo; Venditti, Fabrizio; Saporito, Giuseppe - 2008

The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...

Persistent link: https://www.econbiz.de/10011604946

Should quarterly government finance statistics be used for fiscal surveillane in Europe?

Pedregal, Diego J.; Pérez, Javier J. - 2008

content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …

Persistent link: https://www.econbiz.de/10011604983

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10011605015

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10011605063