This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...

It can be shown that inflation expectations and associated forecast errors are characterized by a high degree of persistence. One reason may be that forecasters cannot directly observe the inflation target pursued by the central bank and, hence, face a complicated forecasting problem. In...

This paper presents a new methodology for the quantification of qualitative survey data. Traditional conversion methods, such as the probability approach of Carlson and Parkin (1975) or the time-varying parameters model of Seitz (1988), require very restrictive assumptions concerning the...

Since the seminal article of Bates and Granger (1969), a large number of theoretical and empirical studies have shown that pooling different forecasts of the same event tends to outperform individual forecasts in terms of forecast accuracy. However, the results remain heterogenous regarding the...

In the current literature uncertainty about the future course of the economy is identified as a possible driver of business cycle fluctuations. In fact, uncertainty surrounds the movements of all economic variables which gives rise to a monitoring problem. We identify the different dimensions of...