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Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
Bekiros, Stelios D.; Paccagnini, Alessia - In: Journal of forecasting 35 (2016) 7, pp. 613-632
Persistent link: https://www.econbiz.de/10011610087
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Oil Price Forecastability and Economic Uncertainty
Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Department of Economics, Faculty of Economic and … - 2015
Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...
Persistent link: https://www.econbiz.de/10011214021
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Oil Price Forecastability and Economic Uncertainty
Bekiros, Stelios; Gupta, Rangan; Paccagnini, Alessia - Dipartimento di Economia, Metodi Quantitativi e … - 2015
Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coe¢ cient approach. In this work, we compare the forecastability of standard, Bayesian...
Persistent link: https://www.econbiz.de/10011234990
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Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
Bekiros, Stelios D.; Paccagnini, Alessia - Institut de Préparation à l'Administration et à la … - 2014
models for forecasting, although this proved to be problem- atic due to estimation and identification issues. Hybrid DSGE … the EU debt crisis. The results of this study can be useful in conducting monetary policy analysis and macro-forecasting …
Persistent link: https://www.econbiz.de/10010796407
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Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
Bekiros, Stelios D.; Paccagnini, Alessia - Rimini Centre for Economic Analysis (RCEA) - 2013
monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods. …
Persistent link: https://www.econbiz.de/10010656010
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Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
Bekiros, Stelios D.; Paccagnini, Alessia - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 298-323
to monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods. …
Persistent link: https://www.econbiz.de/10010719667
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Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - Dipartimento di Economia, Metodi Quantitativi e … - 2015
This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US … forecasting horizon/period. To interpret this finding it is crucial to take into account parameters instabilities showed by a … forecasting performance of output and inflation in the recent period. …
Persistent link: https://www.econbiz.de/10011165203
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Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
Bekiros, Stelios; Paccagnini, Alessia - Dipartimento di Economia, Metodi Quantitativi e … - 2013
models for forecasting, although this proved to be problematic due to estimation and identi.cation issues. Hybrid DSGE models … results of this study can be useful in conducting monetary policy analysis and macro-forecasting in the Euro area. …
Persistent link: https://www.econbiz.de/10010618403
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Forecasting with instabilities: An application to DSGE models with financial frictions
Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015
) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial … with financial frictions outperform in forecasting inflation but not the GDP growth rate. …
Persistent link: https://www.econbiz.de/10011440005
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On the predictability of time-varying VAR and DSGE models
Bekiros, Stelios; Paccagnini, Alessia - In: Empirical Economics 45 (2013) 1, pp. 635-664
results indicate that while in general the classical VAR and BVARs provide with good forecasting results, in many cases the …
Persistent link: https://www.econbiz.de/10010681319