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Disagreement among forecasters in G7 countries

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jiri - 2009

disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP …, consumption, investment and unemployment) has a distinct dynamic from disagreement about nominal variables (inflation and interest … rate). Disagreement about real variables intensifies strongly during recessions, including the current one (by about 40 …

Persistent link: https://www.econbiz.de/10011605128

The role of central bank transparency for guiding private sector forecasts

Ehrmann, Michael; Eijffinger, Sylvester; Fratzscher, Marcel - 2010

(economic) transparency, and given our findings that disagreement among inflation expectations in the general public is not …

Persistent link: https://www.econbiz.de/10011605192

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

Guerin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...

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

Forecasting Inflation with Gradual Regime Shifts and Exogenous Information

Hubrich, Kirstin - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-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...

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

Forecasting Fiscal Time Series Using Mixed Frequency Data

Asimakopoulos, Stylianos - 2013

Given the increased importance of fiscal monitoring, this study amends the existing literature in the field of intra-annual fi scal data in two main dimensions. First, we use quarterly fi scal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis...

Persistent link: https://www.econbiz.de/10013082111

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Forecasting Daily Electricity Prices with Monthly Macroeconomic Variables

Foroni, Claudia - 2019

We analyse the importance of macroeconomic information, such as industrial production index and oil price, for 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...

Persistent link: https://www.econbiz.de/10012890163

Large Bayesian VARs

Banbura, Marta - 2008

This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting...

Persistent link: https://www.econbiz.de/10012769281

Nowcasting with Large Bayesian Vector Autoregressions

Cimadomo, Jacopo - 2020

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three \Vs": the large number of time series continuously...

Persistent link: https://www.econbiz.de/10012825850

The COVID-19 Shock and Challenges for Time Series Models

Bobeica, Elena; Hartwig, Benny - 2021

We document the impact of COVID-19 on frequently employed time series models, with a focus on euro area inflation. We show that for both single equation models (Phillips curves) and Vector Autoregressions (VARs) estimated parameters change notably with the pandemic. In a VAR, allowing the errors...

Persistent link: https://www.econbiz.de/10013226149

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