DSGE models are useful tools for evaluating the impact of policy changes, but their use for (short-term) forecasting is still in its infancy. Besides theory-based restrictions, the timeliness of data is an important issue. Since DSGE models are based on quarterly data, they suffer from the...

In this paper we explore the forecasting performances of methods based on a pre-selection of monthly indicators from large panels of time series. After a preliminary data reduction step based on different shrinkage techniques, we compare the accuracy of principal components forecasts with that...

This paper proposes a simple procedure for obtaining monthly assessments of short-run perspectives for quarterly world GDP and trade. It combines high-frequency information from emerging and advanced countries so as to explain quarterly national accounts variables through bridge models. The...

Recently, Patton and Timmermann (2012) proposed a more powerful kind of forecast efficiency regression at multiple horizons, and showed that it provides evidence against the efficiency of the Fed’s Greenbook forecasts. I use their forecast efficiency evaluation to propose a method for...

This paper explores the gains from combining expert forecasts from the ECB Survey of Professional Forecasters (SPF). The analysis encompasses combinations based on principal components and trimmed means, performance-based weighting, and least squares estimates of optimal weights, as well as...

This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets and Wouters (2012), estimated on euro area data. It investigates the extent to which the inclusion of forecasts of inflation, GDP growth and unemployment by professional forecasters improve...