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Asset prices and macroeconomic outcomes: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012060200

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

Understanding Financial Crises: Causes, Consequences, and Policy Responses

Claessens, Stijn; Kose, M. Ayhan; Laeven, Luc; … - 2013

The global financial crisis of 2007-09 has led to an intensive research program analyzing a wide range of issues related to financial crises. This paper presents a summary of a forthcoming book, Financial Crises: Causes, Consequences, and Policy Responses, that includes 19 contributions...

Persistent link: https://www.econbiz.de/10010500233

News media vs. FRED-MD for macroeconomic forecasting

Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020

-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …

Persistent link: https://www.econbiz.de/10012661568

Improving forecasts of the federal funds rate in a policy model

Robertson, John C.; Tallman, Ellis W. - 1999

Vector autoregression (VAR) models are widely used for policy analysis. Some authors caution, however, that the forecast errors of the federal funds rate from such a VAR are large compared to those from the federal funds futures market. From these findings, it is argued that the inaccurate...

Persistent link: https://www.econbiz.de/10010397474

Forecasting using relative entropy

Robertson, John C.; Tallman, Ellis W.; Whiteman, Charles H. - 2002

The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a...

Persistent link: https://www.econbiz.de/10010397521

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10010397583

Does Forecast Combination Improve Norges Bank Inflation Forecasts?

Bjørnland, Hilde C.; Gerdrup, Karsten R.; Jore, Anne Sofie - 2009

. Furthermore, when comparing the whole forecasting period; model combination outperforms Norges Banks own point forecast for … and data to be used in the forecasting process. …

Persistent link: https://www.econbiz.de/10012143706

Evaluating Ensemble Density Combination - Forecasting GDP and Inflation

Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - 2009

Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...

Persistent link: https://www.econbiz.de/10012143724

Forecasting GDP with Global Components. This Time Is Different

Bjørnland, Hilde C.; Ravazzolo, Francesco; Thorsrud, … - 2015

-of-sample forecasting experiment. Our results show that exploiting the informational content in a common global business cycle factor … improves forecasting accuracy in terms of both point and density forecast evaluation across a large panel of countries. In line … earlier in the evaluation sample. However, this time is different also in other respects. On longer forecasting horizons the …

Persistent link: https://www.econbiz.de/10012143861