The primary purpose of the paper is to answer the following two questions regarding the performance of the influential Federal Open Market Committee (FOMC) of the Federal Reserve System, in comparison with the forecasts contained in the “Greenbooks” of the professional staff of the Board of...

Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some...

Demand forecasts do not become consistently more accurate as they are updated. We present examples demonstrating this counterintuitive phenomenon and some theoretical results to explain its occurrence. Specifically, we analyze the effect of demand randomness on forecast-update performance. A...

In this paper, we model and forecast monthly budget balance expenditures. The annual dimension of budget figures is integrated with an approach based on higher frequency data. To this end we develop an econometric model (disaggregated at expenditures category level) based on behavioral equations...

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...

There is substantial evidence that several economic time series variables experience occasional structural breaks. At the same time, for some of these variables there is evidence of long memory. In particular, it seems that inflation rates have both features. One cause for this finding may be...

Seasonality has attracted considerable interest in empirical tourism research and forecasting. However, the analysis of such recurring phenomenon is sparse in hospitality research, with very few studies to date having analysed seasonal unit roots prior to forecasting guest nights for the...

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are increasingly used to check a) the specification b) the forecasting capacity of these models. We carry out a Monte Carlo experiment on a widely-used DSGE model to investigate the power of...

The paper proposes the thorough investigation of the in-sample and out-of-sample performance of four GARCH and two stochastic volatility models, which were estimated based on Russian financial data. The data includes Aeroflot and Gazprom’s stock prices, and the rouble against the US dollar...