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 … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide …

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 unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy …

point and density forecasts, in line with forecasting practices at many policy institutions. Our main findings are that … point forecasts perform similarly using both approaches, whereas directly forecasting aggregate indices tends to yield … better density forecasts. In the aftermath of the Great Financial Crisis, relative forecasting performance was typically only …

This paper presents a parsimonious model for forecasting and analysing euro area house prices and their interrelations … with validity of the long-run restrictions. - House price ; forecasting ; vector autoregression …

We estimate the effects of interest rate forward guidance (FG) using a parsimonious VAR, augmented with survey forecast …

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 … practitioners, we find that: (i) the key type of time variation to consider is an inflation trend; (ii) a simple filter-based output …

and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of … monetary and credit aggregates are very often selected among the top predictors of inflation, with their predictive power … relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …

asset returns. Our model outperforms the benchmarks in forecasting the inflation level, its conditional variance and the … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The …

theoretical predictions and simulations are corroborated when forecasting aggregate US inflation pre- and post 1984 using … disaggregate sectoral data. - Aggregate forecasts ; disaggregate information ; forecast combination ; inflation …To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those …