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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
. 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
forecasting and policy analysis. BEAR is a MATLAB based toolbox which is easy for non-technical users to understand, augment and …
Persistent link: https://www.econbiz.de/10011605979
We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...
Persistent link: https://www.econbiz.de/10015199442
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/10012661632
find satisfactory results in terms of forecasting, especially when looking at quarterly variables, such as employment …
Persistent link: https://www.econbiz.de/10012661629
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large …
Persistent link: https://www.econbiz.de/10011604746
reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …
Persistent link: https://www.econbiz.de/10011916855
We run a real exchange rate forecasting "horse race", which highlights that two principles hold. First, forecasts … real exchange rate forecasting. However, it fails to forecast nominal exchange rates better than the random walk. We find …
Persistent link: https://www.econbiz.de/10011605950
forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed …-frequency models, introducing a Bayesian approach to reverse unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy …
Persistent link: https://www.econbiz.de/10012142094