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Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

Carriero, Andrea - 2020

evidence of downside risk varying more than upside risk. We note that this pattern in risk estimates over time could obtain … yield more time variation in downside risk as compared to upside risk. Results from the model that includes a volatility … also extends the recent literature by formally evaluating the accuracy of tail risk forecasts and assessing the performance …

Persistent link: https://www.econbiz.de/10012843862

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

Clark, Todd E. - 2006

Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces noise into its forecasts by estimating parameters whose population values are zero. We observe that...

Persistent link: https://www.econbiz.de/10012734793

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

Clark, Todd E. - 2007

Persistent link: https://www.econbiz.de/10012778361

Macroeconomic forecasting in a multi-country context

Bai, Yu; Carriero, Andrea; Clark, Todd E.; Marcellino, … - 2022 - This version: January 2022

Persistent link: https://www.econbiz.de/10012822279

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

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

Chan, Joshua C. C. - 2015

A knowledge of the level of trend inflation is key to many current policy decisions, and several methods of estimating trend inflation exist. This paper adds to the growing literature which uses survey-based long-run forecasts of inflation to estimate trend inflation. We develop a bivariate...

Persistent link: https://www.econbiz.de/10013013307

Estimating Equilibrium Real Interest Rates in Real-Time

Clark, Todd E. - 2016

Persistent link: https://www.econbiz.de/10012991357

Averaging Forecasts from Vars with Uncertain Instabilities

Clark, Todd E. - 2013

Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. The uncertainty inherent in any single...

Persistent link: https://www.econbiz.de/10012711597

Forecasting with Shadow-Rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2021

Interest rate data are an important element of macroeconomic forecasting. Projections of future interest rates are not only an important product themselves, but also typically matter for forecasting other macroeconomic and financial variables. A popular class of forecasting models is linear...

Persistent link: https://www.econbiz.de/10013235487

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2021

We develop novel multivariate time series models using Bayesian additive regression trees that posit nonlinear relationships among macroeconomic variables, their lags, and possibly the lags of the errors. The variance of the errors can be stable, driven by stochastic volatility (SV), or follow a...

Persistent link: https://www.econbiz.de/10013238045