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Mind the gap : a multi-country BVAR benchmark for the Eurosystem projections
Angelini, Elena; Lalik, Magdalena; Lenza, Michele; … - 2019
The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of...
Persistent link: https://www.econbiz.de/10011975386
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Money growth and inflation
Amisano, Gianni; Fagan, Gabriel - 2010
We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...
Persistent link: https://www.econbiz.de/10009640333
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Optimal Prediction Pools
Geweke, John; Amisano, Gianni - 2009
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10003831826
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Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John; Amisano, Gianni - 2008
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10003825870
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Money growth and inflation: a regime switching approach
Amisano, Gianni; Fagan, Gabriel - 2010
We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...
Persistent link: https://www.econbiz.de/10003973538
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Analysis of variance for bayesian inference
Geweke, John; Amisano, Gianni - 2011
practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in … produce simulation-consistent estimates of all of these components, and the method demands little additional effort or … ; Bayesian inference ; predictive distributions ; posterior simulation …
Persistent link: https://www.econbiz.de/10009405593
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Economic predictions with big data : the illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2021
We compare sparse and dense representations of predictive models in macroeconomics, microeconomics and ftnance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate...
Persistent link: https://www.econbiz.de/10012506019
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Density forecasts of inflation : a quantile regression forest approach
Lenza, Michele; Moutachaker, Inès; Paredes, Joan - 2023
Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...
Persistent link: https://www.econbiz.de/10014343110
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Monetary policy in exceptional times
Lenza, Michele; Pill, Huw; Reichlin, Lucrezia - 2010
This paper describes the response of three central banks to the 2007-09 financial crisis: the European Central Bank, the Federal Reserve and the Bank of England. In particular, the paper discusses the design, implementation and impact of so-called "non-standard" monetary policy measures focusing...
Persistent link: https://www.econbiz.de/10009640287
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Monetary policy in exceptional times
Lenza, Michele; Pill, Huw; Reichlin, Lucrezia - 2010
This paper describes the response of three central banks to the 2007-09 financial crisis: the European Central Bank, the Federal Reserve and the Bank of England. In particular, the paper discusses the design, implementation and impact of so-called "non-standard" monetary policy measures focusing...
Persistent link: https://www.econbiz.de/10008659377