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Garegnani, 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

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

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

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

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

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

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

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

VAR models with fat tails and dynamic asymmetry

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

Persistent link: https://www.econbiz.de/10015084442

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