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Mixed frequency models with MA components

Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

Persistent link: https://www.econbiz.de/10011937289

Exchange rate forecasting on a napkin

Ca'Zorzi, Michele; Rubaszek, Michał - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10011856403

The predictive power of equilibrium exchange rate models

Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but …

Persistent link: https://www.econbiz.de/10012139745

Forecasting euro area inflation : does aggregating forecasts by HICP component improve forecast accuracy?

Hubrich, Kirstin (contributor) - 2003

Persistent link: https://www.econbiz.de/10001820871

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

; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …

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

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

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

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

Structural filters for monetary analysis : the inflationary movements of money in the euro area

Bruggeman, Annick; Camba-Méndez, Gonzalo; Fischer, Björn - 2005

The quantity theory of money predicts a positive relationship between monetary growth and inflation over long-run horizons. However, in the short-run, transitory shocks to either money or inflation can obscure the inflationary signal stemming from money. The spectral analysis of time series...

Persistent link: https://www.econbiz.de/10003000766

does aggregating forecasts by HICP component improve forecast accuracy?

Hubrich, Kirstin - 2003

series models and distinguishes between different forecast horizons, HICP components and inﬂation measures. Various … indicate that aggregating forecasts by component does not necessarily help forecast year-on-year inﬂation twelve months …

Persistent link: https://www.econbiz.de/10009635954