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Forecasting daily electricity prices with monthly macroeconomic variables

Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019

We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse...

Persistent link: https://www.econbiz.de/10011987142

Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination

Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap … ; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …

Persistent link: https://www.econbiz.de/10009380402

Combining the forecasts in the ECB survey of professional forecasters : can anything beat the simple average?

Genre, Véronique; Kenny, Geoff; Meyler, Aidan - 2010

unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast … bias. - Forecast combination ; forecast evaluation ; data snooping ; real-time data ; Survey of Professional Forecasters …

Persistent link: https://www.econbiz.de/10008771791

Forecasting euro area inflation using targeted predictors : is money coming back?

Falagiarda, Matteo; Sousa, João - 2017

This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area. Overall, we find strong variation in the information content of these variables over time. We show that monetary and credit aggregates are very often selected...

Persistent link: https://www.econbiz.de/10011637074

Does the Phillips curve help to forecast euro area inflation?

Bańbura, Marta; Bobeica, Elena - 2020

breaks in the performance of most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run … in a forecaster's toolkit. We base these conclusions on an extensive forecast evaluation over 1994 - 2018, an … estimated slack or by estimates from international economic institutions; (iii) external variables do not bring forecast gains …

Persistent link: https://www.econbiz.de/10012299084

Forecasting the Covid-19 recession and recovery : lessons from the financial crisis

Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2020

, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track by a … similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best …

Persistent link: https://www.econbiz.de/10012285550

Weigh(t)ing the basket : aggregate and component-based inflation forecasts for the euro area

Chalmovianský, Jakub; Porqueddu, Mario; Sokol, Andrej - 2020

We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...

Persistent link: https://www.econbiz.de/10012384462

An analysis of the Eurosystem/ECB projections

Kontogeorgos, Georgios; Lambrias, Kyriacos - 2019

rationality using techniques widely employed in the applied literature of forecast evaluation. In general, the results are …

Persistent link: https://www.econbiz.de/10012016555

Density forecast combinations : the real-time dimension

McAdam, Peter; Warne, Anders - 2020

Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights …

Persistent link: https://www.econbiz.de/10012172228

Forecast performance in the ECB SPF : ability or chance?

Meyler, Aidan - 2020

In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … horizons, the aggregate (consensus) SPF forecast performs best. …

Persistent link: https://www.econbiz.de/10012156473