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Forecasting US Inflation Using Bayesian Nonparametric Models
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2022
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we develop a model for inflation forecasting that is...
Persistent link: https://www.econbiz.de/10013298371
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Real-Time Density Forecasts from VARs with Stochastic Volatility
Clark, Todd E. - 2013
. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in … volatility associated with greater variation in energy prices and the deep global recession pose significant challenges to …, inflation, and the federal funds rate from VAR models with stochastic volatility. The model of interest extends the steady state …
Persistent link: https://www.econbiz.de/10013095864
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Evaluating the Accuracy of Forecasts from Vector Autoregressions
Clark, Todd E. - 2013
This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those...
Persistent link: https://www.econbiz.de/10013086000
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Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Clark, Todd E. - 2019
forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches …, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts …
Persistent link: https://www.econbiz.de/10013210484
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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
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Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2017 - This draft: August 31, 2017
forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches …, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts …
Persistent link: https://www.econbiz.de/10011780949
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Evaluating Conditional Forecasts from Vector Autoregressions
Clark, Todd E. - 2014
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on methods for evaluating conditional forecasts. This paper...
Persistent link: https://www.econbiz.de/10013046359
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No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Carriero, Andrea - 2020
vector autoregression of a panel of government bond yields, specifying a common time-varying volatility for the disturbances … structure of government bond yields, compared to a fully fledged term structure model with time-varying volatility and to a no …
Persistent link: https://www.econbiz.de/10012822660
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Clark, Todd E. - 2012
This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …
Persistent link: https://www.econbiz.de/10013100483
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Clark, Todd E. - 2013
This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point … vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both … with constant and time-varying autoregressive coefficients), stochastic volatility following a stationary AR process …
Persistent link: https://www.econbiz.de/10013082395