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Moench, Emanuel; Ng, Serena; Potter, Simon - 2009

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10010287088

The behavior of uncertainty and disagreement and their roles in economic prediction: A panel analysis

Rich, Robert W.; Tracy, Joseph S. - 2017

This paper examines point and density forecasts from the European Central Bank's Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...

Persistent link: https://www.econbiz.de/10011796451

The FRBNY Staff Underlying Inflation Gauge: UIG

Amstad, Marlene; Potter, Simon; Rich, Robert - 2014

Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...

Persistent link: https://www.econbiz.de/10011340981

Dynamic prediction pools: An investigation of financial frictions and forecasting performance

Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014

pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …

Persistent link: https://www.econbiz.de/10011340986

Priors for the long run

Giannone, Domenico; Primiceri, Giorgio E.; Lenza, Michele - 2017

-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …

Persistent link: https://www.econbiz.de/10011942777

Exploiting the monthly data flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015

predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …

Persistent link: https://www.econbiz.de/10011460630

How stable is the predictive power of the yield curve? Evidence from Germany and the United States

Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - 2000

Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...

Persistent link: https://www.econbiz.de/10010283311

Commodity prices, commodity currencies, and global economic developments

Groen, Jan J. J.; Pesenti, Paolo A. - 2009

partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten …

Persistent link: https://www.econbiz.de/10010287027

Equity premium predictions with adaptive macro indexes

Bai, Jennie - 2010

adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To … stock returns and have more forecasting power than both the historical average of stock returns and commonly used predictors …. The forecasting power exhibits a strong cyclical pattern, implying the ability of adaptive macro indexes to capture time …

Persistent link: https://www.econbiz.de/10010287068

Real time underlying inflation gauges for monetary policymakers

Amstad, Marlene; Potter, Simon - 2009

Central banks analyze a wide range of data to obtain better measures of underlying inflationary pressures. Factor models have widely been used to formalize this procedure. Using a dynamic factor model this paper develops a measure of underlying inflation (UIG) at time horizons of relevance for...

Persistent link: https://www.econbiz.de/10010287106

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