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Do inflation expectations improve model-based inflation forecasts?
Bańbura, Marta; Leiva-Leon, Danilo; Menz, Jan-Oliver - 2021
find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF … and Consensus Economics compared to their counterparts that do not. The gains in forecast accuracy from incorporating … households does not lead to systematic improvements in forecast performance. Individual models we consider are typically better …
Persistent link: https://www.econbiz.de/10012643485
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Disciplining expectations and the forward guidance puzzle
Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020
improves the out-of-sample forecast accuracy of the model. Furthermore, we evaluate the case for introducing a discount factor …
Persistent link: https://www.econbiz.de/10012241110
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Nowcasting in a pandemic using non-parametric mixed frequency VARs
Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...
Persistent link: https://www.econbiz.de/10012405305
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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
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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
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Using forecast-augmented VAR evidence to dampen the forward guidance puzzle
Christoffel, Kai; De Groot, Oliver; Mazelis, Falk; … - 2020
We estimate the effects of interest rate forward guidance (FG) using a parsimonious VAR, augmented with survey forecast …
Persistent link: https://www.econbiz.de/10012318803
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Does the federal reserve staff still beat private forecasters?
Shagi, Makram el-; Giesen, Sebastian; Jung, Alexander - 2014
Persistent link: https://www.econbiz.de/10010380095
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Firms' expectations on access to finance at the early stages of the Covid-19 pandemic
Ferrando, Annalisa; Ganoulis, Ioannis - 2020
This paper provides novel information on the propagation of the pandemic-induced real shock to firms' financial conditions. It uses firm-level survey data from end February to early April 2020 for a large sample of euro area SMEs and large firms. Firms' expectations on the availability of credit...
Persistent link: https://www.econbiz.de/10012249663
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Firms' expectations on the availability of credit since the financial crisis
Ferrando, Annalisa; Ganoulis, Ioannis; Preuss, Carsten - 2019
-in-differences approach, we find evidence of forward-looking expectations. In particular, shortly after the OMT announcement the forecast of …
Persistent link: https://www.econbiz.de/10012135893
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Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10009380930