We examine the effectiveness of recursive-weight and equal-weight combination strategies for forecasting using many time-varying models of the relationship between inflation and the output gap. The forecast densities for inflation reflect the uncertainty across models using many statistical...

Density forecast combinations are becoming increasingly popular as a means of improving forecast `accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...

The article summarises the main contributions that were presented at the seventh biennial conference organised by the National Bank of Belgium on 11 and 12 October 2012 on the theme “Endogenous Financial Risk” (most of them are available in the NBB Working Paper series, N°s 227 to 236)....

We derive monthly and quarterly series of UK GDP for the inter-war period from a set of monthly indicators that were constructed by The Economist at the time. The monthly information is complemented with data for quarterly industrial production, allowing us to employ mixed-frequency methods to...

Over the second half of the 1990s, the surfacing of credit derivatives and collateralised debt obligations enlarged the range of instruments for transferring credit risk. Although the characteristics and purposes of the former are very similar to those of the latter, the tradability of the new...