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Prior Selection for Vector Autoregressions

Giannone, Domenico; Primiceri, Giorgio; Lenza, Michele - National Bureau of Economic Research (NBER) - 2012

subjective choices in the setting of the prior. Moreover, it performs very well both in terms of out-of-sample forecasting …

Persistent link: https://www.econbiz.de/10011272306

Bayesian Variable Selection for Nowcasting Economic Time Series

Varian, Hal; Scott, Steven L. - National Bureau of Economic Research (NBER) - 2013

We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than …

Persistent link: https://www.econbiz.de/10011264930

DSGE Model-Based Forecasting of Non-modelled Variables

Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - National Bureau of Economic Research (NBER) - 2009

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...

Persistent link: https://www.econbiz.de/10005718736

Real-Time Forecasting with a Mixed-Frequency VAR

Schorfheide, Frank; Song, Dongho - National Bureau of Economic Research (NBER) - 2013

This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to...

Persistent link: https://www.econbiz.de/10010721189

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Faust, Jon; Gilchrist, Simon; Wright, Jonathan; … - National Bureau of Economic Research (NBER) - 2011

Employing a large number of real and financial indicators, we use Bayesian Model Averaging (BMA) to forecast real-time measures of economic activity. Importantly, the predictor set includes option-adjusted credit spread indexes based on bond portfolios sorted by maturity and credit risk as...

Persistent link: https://www.econbiz.de/10008804678

What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

Wachter, Jessica A.; Warusawitharana, Missaka - National Bureau of Economic Research (NBER) - 2011

We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about...

Persistent link: https://www.econbiz.de/10009251492

Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models

Levin, Andrew Theo; Onatski, Alexei; Williams, John C.; … - National Bureau of Economic Research (NBER) - 2005

We use a micro-founded macroeconometric modeling framework to investigate the design of monetary policy when the central bank faces uncertainty about the true structure of the economy. We apply Bayesian methods to estimate the parameters of the baseline specification using postwar U.S. data, and...

Persistent link: https://www.econbiz.de/10005050058

Forecasts in a Slightly Misspecified Finite Order VAR

Stock, James H.; Müller, Ulrich K. - National Bureau of Economic Research (NBER) - 2011

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...

Persistent link: https://www.econbiz.de/10008805023

Can Oil Prices Forecast Exchange Rates?

Rogoff, Kenneth S; Rossi, Barbara; Ferraro, Domenico - National Bureau of Economic Research (NBER) - 2012

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...

Persistent link: https://www.econbiz.de/10011227945

Efficient Prediction of Excess Returns

Faust, Jon; Wright, Jonathan - National Bureau of Economic Research (NBER) - 2008

price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are … not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …

Persistent link: https://www.econbiz.de/10005720382

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