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Forecast comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - In: Journal of applied econometrics 25 (2010) 4, pp. 595-620

Persistent link: https://www.econbiz.de/10008667472

Prior Selection for Vector Autoregressions

Giannone, Domenico - 2012

parameterized unrestricted model towards a parsimonious naïve benchmark, and thus reduce estimation uncertainty. This paper studies …--as well as factor models--and accuracy in the estimation of impulse response functions …

Persistent link: https://www.econbiz.de/10013099106

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

Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of applied econometrics 31 (2016) 3, pp. 507-532

Persistent link: https://www.econbiz.de/10011642621

The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates

Inoue, Atsushi - 2018

What are the effects of monetary policy on exchange rates? And have unconventional monetary policies changed the way monetary policy is transmitted to international financial markets? According to conventional wisdom, expansionary monetary policy shocks in a country lead to that country's...

Persistent link: https://www.econbiz.de/10012911113

Common factors of commodity prices

Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - In: Journal of applied econometrics 37 (2022) 3, pp. 461-476

Persistent link: https://www.econbiz.de/10013186690