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Giannone, Domenico - 2018

We propose a class of prior distributions that discipline the long-run behavior of Vector Autoregressions (VARs). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time series in the long run. Our priors for the long run...

Persistent link: https://www.econbiz.de/10012926335

Forecasting the World Economy in the Short-Term

Jakaitiene, Audrone - 2009

Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims, first, at ranking various forecasting methods in terms of...

Persistent link: https://www.econbiz.de/10013159358

Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2021

Factor based forecasting has been at the forefront of developments in the macro-econometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10013316380

Estimating and Forecasting the Euro Area Monthly National Accounts from a Dynamic Factor Model

Angelini, Elena; Bańbura, Marta; Rünstler, Gerhard - 2021

We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting...

Persistent link: https://www.econbiz.de/10013316468

Is Forecasting with Large Models Informative? Assessing the Role of Judgement in Macroeconomic Forecasts

Mestre, Ricardo; McAdam, Peter - 2021

We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...

Persistent link: https://www.econbiz.de/10013316469

Eigenvalue filtering in VAR models with application to the Czech business cycle

Beneš, Jaromír; Vávra, David - 2005

model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import …

Persistent link: https://www.econbiz.de/10011604595

Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guérin, Pierre - 2011

predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …

Persistent link: https://www.econbiz.de/10013120226

Forecasting Inflation with Gradual Regime Shifts and Exogenous Information

Hubrich, Kirstin - 2011

-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the … inflation process into a slowly moving nonstationary component and dynamic short-run fluctuations around it. An important … quantity to be forecast. This makes it possible to form a single model-based inflation forecast that also incorporates the …

Persistent link: https://www.econbiz.de/10013122536

Nowcasting Inflation Using High Frequency Data

Modugno, Michele - 2021

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than … accurate estimates of inflation for the current and followings months. In particular, this paper uses the Weekly Oil Bulletin …

Persistent link: https://www.econbiz.de/10013316040

Long Run Evidence on Money Growth and Inflation

Benati, Luca - 2021

Over the last two centuries, the coherence between either narrow or broad money growth and inflation at zero has … that the fraction of inflation's long-run variation explained by long-run money growth has been very high and relatively … outbursts associated with World War I and the Great Inflation - but not World War II - whereas following the disinflation of the …

Persistent link: https://www.econbiz.de/10013316404