The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...

We show that long horizon forecasts from the nonlinear models that are considered in the study by Rapach andWohar (2006) cannot generate any forecast gains over a simple AR(1) specification. This is contrary to the findings reported in Rapach and Wohar (2006). Moreover, we illustrate graphically...

This paper compares forecast performance of linear and nonlinear monetary policy rules using South African data. Recursive forecasts values are computed for 1- to 12-steps ahead for the out-of-sample period 2006:01 to 2010:12. For the nonlinear models we use bootstrap method for multi-step ahead...

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...

This paper presents evidence that accounting (or flow-of-fund) macroeconomic models helped anticipate the credit crisis and economic recession. Equilibrium models ubiquitous in mainstream policy and research did not. This study identifies core differences, traces their intellectual pedigrees,...

Article introduces the notion of information money fields of the cyclic oscillations of the economic variables in the nonlinear dynamic economic system for the first time, and presents an original research on the Ledenyov theory on the information money fields of the cyclic oscillations of the...

Article introduces the notion of information money fields of the cyclic oscillations of the economic variables in the nonlinear dynamic economic system for the first time, and presents an original research on the Ledenyov theory on the information money fields of the cyclic oscillations of the...

The formation of the European Union (EU) is the one of the biggest political – economic events of the last 50 years. The aim of this study is to develop EU economy functioning system dynamic model. Main research method is system dynamics. General scheme of EU economy system dynamic model is...

This document compares the proprieties of different empirical methodologies to estimate the output gap and the potential output (non-observable variables of interest to the design of monetary policy and macroeconomic analysis) using Dominican Republic as a case of study. The output gap and...