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Inflation decomposition model : application to Macedonian inflation

Andonova, Danica Unevska - 2018

The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by macroeconomic model of NBRM for monetary policy analysis and medium term projections (MAKPAM), into its components: food, energy and core inflation. The model for inflation...

Persistent link: https://www.econbiz.de/10011926820

Adaptive models and heavy tails

Delle Monache, Davide; Petrella, Ivan - 2014

This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...

Persistent link: https://www.econbiz.de/10010382183

Modelling asymmetric dependence using copula functions : an application to value-at-risk in the energy sector

Bastianin, Andrea - 2009

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio … that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting … VaR forecasts. These findings confirm the importance of nonnormalities and asymmetries both in-sample and out …

Persistent link: https://www.econbiz.de/10008810287

A state space approach to extracting the signal from uncertain data

Cunningham, Alastair W. F.; Eklund, Jana; Jeffery, Chris - 2009

Most macroeconomic data are uncertain - they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper...

Persistent link: https://www.econbiz.de/10003799514

Identifying useful indicators for nowcasting GDP in Sweden

Karlsson, Sune; Mazur, Stepan; Raftab, Mariya - 2025

is conducted using mixed-data sampling (MIDAS) and mixed-frequency VAR models in both individual and pooled setups for …

Persistent link: https://www.econbiz.de/10015207182

Real-time consideration of systematic patterns in Maltese GDP data and revisions

Debono, Nathaniel - 2024

making economic assessments in real time. These patterns are identified through the application of VAR econometric techniques …

Persistent link: https://www.econbiz.de/10014461449

A forecasting framework for core domestic banks in Malta

Andreani, Michele - 2024

a Factor-Augmented VAR (FAVAR) and a Bayesian VAR (BVAR). These models are estimated using macroeconomic series …

Persistent link: https://www.econbiz.de/10015053640

What drives the European carbon market? : macroeconomic factors and forecasts

Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024

Putting a price on carbon - with taxes or developing carbon markets - is a widely used policy measure to achieve the target of net-zero emissions by 2050. This paper tackles the issue of producing point, direction-of-change, and density forecasts for the monthly real price of carbon within the...

Persistent link: https://www.econbiz.de/10014470036

SVARs identification through bounds on the forecast error variance

Volpicella, Alessio - 2019

Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...

Persistent link: https://www.econbiz.de/10012037315

Modeling time-varying uncertainty of multiple-horizon forecast errors

Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2017 - This draft: August 31, 2017

We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple...

Persistent link: https://www.econbiz.de/10011780949