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Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2014

, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our … framework is general: it can be applied to model-based forecasts obtained either with recursive or rolling window estimation … schemes, as well as to forecasts that are model-free. The proposed tests provide more evidence against forecast rationality …

Persistent link: https://www.econbiz.de/10011099197

Can oil prices forecast exchange rates?

Ferraro, Domenico; Rogoff, Ken; Rossi, Barbara - Department of Economics and Business, Universitat … - 2011

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity...

Persistent link: https://www.econbiz.de/10011122324

Alternative tests for correct specification of conditional predictive densities

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2014

We propose new methods for evaluating predictive densities in an environment where the estimation error of the …

Persistent link: https://www.econbiz.de/10011234883

Out-of-sample forecast tests robust to the choice of window size

Rossi, Barbara; Inoue, Atsushi - Department of Economics and Business, Universitat … - 2012

choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over …

Persistent link: https://www.econbiz.de/10010849591

Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2013

We evaluate conditional predictive densities for U.S. output growth and inflation using a number of commonly used forecasting models that rely on a large number of macroeconomic predictors. More specifically, we evaluate how well conditional predictive densities based on the commonly used...

Persistent link: https://www.econbiz.de/10010849601

Conditional predictive density evaluation in the presence of instabilities

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2013

We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramér-von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...

Persistent link: https://www.econbiz.de/10010849628

Hypernormal densities

Giacomini, Raffaella; Gottschling, Andreas; Haefke, … - Department of Economics and Business, Universitat … - 2002

We propose a new family of density functions that possess both flexibility and closed form expressions for moments and anti-derivatives, making them particularly appealing for applications. We illustrate its usefulness by applying our new family to obtain density forecasts of U.S. inflation. Our...

Persistent link: https://www.econbiz.de/10005772145

Structural changes in the US economy: is there a role for monetary policy?

Canova, Fabio; Gambetti, Luca - Department of Economics and Business, Universitat … - 2003

This paper investigates the contribution of monetary policy to the changes in output growth and inflation dynamics in the US. We identify a policy shock and a policy rule in a time-varying coefficients VAR using robust sign restrictions. The transmission of policy shocks has been relatively...

Persistent link: https://www.econbiz.de/10005772411

What explains the Great Moderation in the US? A structural analysis

Canova, Fabio - Department of Economics and Business, Universitat … - 2004

This paper investigates what has caused output and inflation volatility to fall in the US using a small scale structural model using Bayesian techniques and rolling samples. There are instabilities in the posterior of the parameters describing the private sector, the policy rule and the standard...

Persistent link: https://www.econbiz.de/10005248475

The dynamics of US inflation: Can monetary policy explain the changes?

Canova, Fabio; Ferroni, Filippo - Department of Economics and Business, Universitat … - 2010

We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they...

Persistent link: https://www.econbiz.de/10008683692