Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the …

uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with …

forecast combinations, which are widely used in macroeconomic forecasting, and compares these with a lesser known alternative …

. Accounting for this nonlinearity, uncertainty accounts for about 1% of the peak fall in industrial production observed in the …Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the … interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on …

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …