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Predicting recession probabilities with financial variables over multiple horizons

Fornari, Fabio; Lemke, Wolfgang - 2010

We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any point in time, the ProbVAR allows to...

Persistent link: https://www.econbiz.de/10009640285

Forecasting with DSGE models

Christoffel, Kai; Coenen, Günter; Warne, Anders - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10009640356

The external finance premium in the euro area

Gelain, Paolo - 2010

ingredient to model. In fact, I found that the estimated premium is a very powerful predictor of inflation. It overcomes, in …

Persistent link: https://www.econbiz.de/10009640370

Macroeconomic forecasting and structural change

D’Agostino, Antonello; Gambetti, Luca; Giannone, Domenico - 2010

macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. …

Persistent link: https://www.econbiz.de/10009640390

Corporate bond spreads and real activity in the euro area

Buchmann, Marco - 2011

This paper aims at providing a detailed analysis of the leading indicator properties of corporate bond spreads for real economic activity in the euro area. In- and out-of-sample predictive content of corporate bond spreads are examined along three dimensions: the bonds’ quality , their term to...

Persistent link: https://www.econbiz.de/10009640612

Potential output in DSGE models

Vetlov, Igor; Hlédik, Tibor; Jonsson, Magnus; Kucsera, … - 2011

In view of the increasing use of Dynamic Stochastic General Equilibrium (DSGE) models in the macroeconomic projections and the policy process, this paper examines, both conceptually and empirically, alternative notions of potential output within DSGE models. Furthermore, it provides historical...

Persistent link: https://www.econbiz.de/10009640840

Merging structural and reduced-form models for forecasting : opening the DSGE-VAR box

Martínez-Martín, Jaime; Morris, Richard; Onorante, Luca; … - 2019

The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE-VAR and Augmented-(B)VARDSGE methods) and assess their use...

Persistent link: https://www.econbiz.de/10012132553

Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Ojea Ferreiro, Javier - 2019

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10012034482

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

We propose a class of prior distributions that discipline the long-run behavior of Vector Autoregressions (VARs). These priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time series in the long run. Our priors for the long run...

Persistent link: https://www.econbiz.de/10011802148

The New Area-Wide Model II : an extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector

Coenen, Günter; Karadi, Peter; Schmidt, Sebastian; … - 2018

This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...

Persistent link: https://www.econbiz.de/10011928964