Similar Search Results

Benalal, Nicholai; Diaz del Hoyo, Juan Luis; Landau, Bettina - 2004

In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a whole, considering the four largest euro...

Persistent link: https://www.econbiz.de/10009639428

Money growth and inflation

Amisano, Gianni; Fagan, Gabriel - 2010

We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...

Persistent link: https://www.econbiz.de/10009640333

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' nowcasts, however, the forecasting power of the DSGE …

Persistent link: https://www.econbiz.de/10009640469

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs

Villani, Mattias; Warne, Anders - 2003

Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends...

Persistent link: https://www.econbiz.de/10009636519

Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - 2004

This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller...

Persistent link: https://www.econbiz.de/10009636535

Is inflation persistence intrinsic in industrial economies?

Levin, Andrew T.; Piger, Jeremy M. - 2004

We apply both classical and Bayesian econometric methods to characterize the dynamic behavior of inflation for twelve industrial countries over the period 1984-2003, using four different price indices for each country. In particular, we estimate a univariate autoregressive (AR) model for each...

Persistent link: https://www.econbiz.de/10009636705

Autoregressions in small samples, priors about observables and initial conditions

Jarociński, Marek; Marcet, Albert - 2010

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...

Persistent link: https://www.econbiz.de/10009640277

Financial factors in economic fluctuations

Christiano, Lawrence; Motto, Roberto; Rostagno, Massimo - 2010

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10009640348

Forecasting with DSGE models

Christoffel, Kai; Coenen, Günter; Warne, Anders - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …

Persistent link: https://www.econbiz.de/10009640356