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Forecasting and turning point predictions in a Bayesian panel VAR model
Canova, Fabio; Ciccarelli, Matteo - Department of Economics and Business, Universitat … - 1999
We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a …. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the … forecasting methods is also provided. …
Persistent link: https://www.econbiz.de/10005772432
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Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model
Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001
We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a … point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of … predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. …
Persistent link: https://www.econbiz.de/10005504253
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FAQ: how do I extract the output gap?
Canova, Fabio - 2020
I study potentials and gaps, permanent and transitory fluctuations in macroeconomic variables using the Smets and Wouter (2007) model. Model-based gaps display low frequency variations; possess more than business cycle fluctuations; have similar frequency representation as potentials, and are...
Persistent link: https://www.econbiz.de/10012161496
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G-7 Inflation Forecasts
Canova, Fabio - C.E.P.R. Discussion Papers - 2002
This Paper compares the forecasting performance of some leading models of inflation for the cross section of G-7 …
Persistent link: https://www.econbiz.de/10005792507
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FORECASTING AND TURNING POINT PREDICTIONS IN A BAYESIAN PANEL VAR MODEL
Canova, Fabio; Ciccarelli, Matteo - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000
We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a …. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the … forecasting methods is also provided. …
Persistent link: https://www.econbiz.de/10005515914
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The dynamics of US inflation: Can monetary policy explain the changes?
Canova, Fabio; Ferroni, Filippo - Department of Economics and Business, Universitat … - 2010
We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they...
Persistent link: https://www.econbiz.de/10008683692
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The Dynamics of US Inflation: Can Monetary Policy Explain the Changes?
Canova, Fabio; Ferroni, Filippo - Barcelona Graduate School of Economics (Barcelona GSE) - 2010
We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility;...
Persistent link: https://www.econbiz.de/10010547496
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The dynamics of US inflation: Can monetary policy explain the changes?
Canova, Fabio; Ferroni, Filippo - In: Journal of Econometrics 167 (2012) 1, pp. 47-60
We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they...
Persistent link: https://www.econbiz.de/10010574074
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Panel vector autoregressive models: a survey
Canova, Fabio; Ciccarelli, Matteo - 2013
This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are estimated and how shock identification is...
Persistent link: https://www.econbiz.de/10011605552
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Structural Changes in the US Economy: Bad Luck or Bad Policy?
Canova, Fabio; Gambetti, Luca - C.E.P.R. Discussion Papers - 2006
This paper investigates the relationship between time variations in output and inflation dynamics and monetary policy in the US. There are changes in the structural coefficients and in the variance of the structural shocks. The policy rules in the 1970s and 1990s are similar as is the...
Persistent link: https://www.econbiz.de/10005791999