Showing 1 - 10 of 44
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
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
Energy inflation is a major source of headline inflation volatility and forecast errors, therefore it is critical to … pre-tax price modelling. These characteristics enhance both in-sample explanatory power and forecast accuracy. Compared to …
Persistent link: https://www.econbiz.de/10015416207
, covering 2001Q1-2019Q4. The adaptive learning model obtains better within-sample fit for all vintages used for estimation in … the forecast exercise and for the full sample. However, the rational expectations model typically predicts real GDP growth … forecast horizon, while the adaptive learning model predicts better for the outer quarters. …
Persistent link: https://www.econbiz.de/10013492913
We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...
Persistent link: https://www.econbiz.de/10015179785
Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...
Persistent link: https://www.econbiz.de/10003963819
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
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
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10011813503
We introduce a Bayesian Mixed-Frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii)...
Persistent link: https://www.econbiz.de/10012643283