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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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What drives the European carbon market? : macroeconomic factors and forecasts
Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024
that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …
Persistent link: https://www.econbiz.de/10014470036
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Forecasting Macedonian inflation : evaluation of different models for short-term forecasting
Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017
Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …
Persistent link: https://www.econbiz.de/10011717605
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
the results from previous studies, BVAR models with theoretical priors seem to achieve forecasting performance that is …
Persistent link: https://www.econbiz.de/10010339762
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...
Persistent link: https://www.econbiz.de/10012818429
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Modelling Okun's law - does non-Gaussianity matter?
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2022
In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...
Persistent link: https://www.econbiz.de/10012799537
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
amount of support within sample, it appears to be of more limited importance from a forecasting perspective. …
Persistent link: https://www.econbiz.de/10014490330
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Modelling asymmetric dependence using copula functions : an application to value-at-risk in the energy sector
Bastianin, Andrea - 2009
that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …-of-sample. -- Copula functions ; Forecasting ; Value-At-Risk …
Persistent link: https://www.econbiz.de/10008810287
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An empirical investigation of direct and iterated multistep conditional forecasts
McCracken, Michael W.; McGillicuddy, Joseph - 2017
When constructing unconditional point forecasts, both direct- and iterated-multistep (DMS and IMS) approaches are common. However, in the context of producing conditional forecasts, IMS approaches based on vector autoregressions (VAR) are far more common than simpler DMS models. This is despite...
Persistent link: https://www.econbiz.de/10011782870