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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

Exploring the international linkages of the euro area: a global VAR analysis

Dées, Stéphane; di Mauro, Filippo; Pesaran, Hashem; … - 2005

This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...

Persistent link: https://www.econbiz.de/10011604614

Identification of new Keynesian Phillips Curves from a global perspective.

Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2008

New Keynesian Phillips Curves (NKPC) have been exten-sively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macro-economic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10011604938

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

Large Bayesian VARs

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008

to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …

Persistent link: https://www.econbiz.de/10011605012

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

Macroeconomic forecasting and structural change

Gambetti, Luca; D’Agostino, Antonello; Giannone, Domenico - 2010

The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...

Persistent link: https://www.econbiz.de/10011605213

Forecasting with DSGE models

Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …

Persistent link: https://www.econbiz.de/10011605231