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Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...
Persistent link: https://www.econbiz.de/10014320745
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The Global Component of Inflation Volatility
Carriero, Andrea - 2018
Global developments play an important role in domestic inflation rates. Previous literature has found that a … substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However …, inflation volatility has been typically neglected, while it is clearly relevant both from a policy point of view and for …
Persistent link: https://www.econbiz.de/10012919564
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Forecasting government bond yields with large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...
Persistent link: https://www.econbiz.de/10003990415
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No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Carriero, Andrea - 2020
We derive a Bayesian prior from a no-arbitrage affine term structure model and use it to estimate the coefficients of a vector autoregression of a panel of government bond yields, specifying a common time-varying volatility for the disturbances. Results based on US data show that this method...
Persistent link: https://www.econbiz.de/10012822660
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Expectations and term premia in EFSF bond yields
Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022
The European Financial Stability Facility (EFSF) was set up in June 2010 as a temporary crisis resolution mechanism. In October 2012, its tasks were taken over by European Stability Mechanism (ESM), a permanent institution with a capital-based structure. Liquidity conditions for EFSF bonds in...
Persistent link: https://www.econbiz.de/10013403171
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Persistent link: https://www.econbiz.de/10013187449
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Shadow-rate VARs
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...
Persistent link: https://www.econbiz.de/10014320848
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A comparison of methods for the construction of composite coincident and leading indexes for the UK
Carriero, Andrea; Marcellino, Massimiliano - 2007
In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the...
Persistent link: https://www.econbiz.de/10010284207
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Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
Carriero, Andrea - 2014
This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...
Persistent link: https://www.econbiz.de/10013065065
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Nowcasting Tail Risks to Economic Activity with Many Indicators
Carriero, Andrea - 2020
This paper focuses on nowcasts of tail risk to GDP growth, with a potentially wide array of monthly and weekly information. We consider different models (Bayesian mixed frequency regressions with stochastic volatility, as well as classical and Bayesian quantile regressions) and also different...
Persistent link: https://www.econbiz.de/10012834306