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Macroeconomic forecasting and structural change
D’Agostino, Antonello; Gambetti, Luca; Giannone, Domenico - 2010
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...
Persistent link: https://www.econbiz.de/10009640390
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Would the Bundesbank have prevented the Great Inflation in the United States?
Benati, Luca - 2009
Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...
Persistent link: https://www.econbiz.de/10009640445
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Indeterminacy with inflation-forecast-based rules in a two-bloc model
Batini, Nicoletta; Levine, Paul; Pearlman, Joseph - 2004
We examine the performance of forward-looking inflation-forecast-based rules in open economies. In a New Keynesian two-bloc model, a methodology first employed by Batini and Pearlman (2002) is used to obtain analytically the feedback parameters/horizon pairs associated with unique and stable...
Persistent link: https://www.econbiz.de/10009639394
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Cross-country differences in monetary policy transmission
Berben, Robert-Paul; Locarno, Alberto; Morgan, Julian; … - 2004
This paper examines possible explanations for observed differences in the transmission of euro area monetary policy in central bank large-scale macroeconomic models. In particular it considers the extent to which these differences are due to differences in the underlying economies or (possibly...
Persistent link: https://www.econbiz.de/10009639460
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quantifying and forecasting inflation risks
Kilian, Lutz; Manganelli, Simone - 2003
In deciding the monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of...
Persistent link: https://www.econbiz.de/10009639841
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reliability and forecasting performance
Marcellino, Massimiliano; Musso, Alberto - 2010
estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and …
Persistent link: https://www.econbiz.de/10009640402
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The role of central bank transparency for guiding private sector forecasts
Ehrmann, Michael; Eijffinger, Sylvester; Fratzscher, Marcel - 2010
There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically...
Persistent link: https://www.econbiz.de/10009640413
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Potential output in DSGE models
Vetlov, Igor; Hlédik, Tibor; Jonsson, Magnus; Kucsera, … - 2011
In view of the increasing use of Dynamic Stochastic General Equilibrium (DSGE) models in the macroeconomic projections and the policy process, this paper examines, both conceptually and empirically, alternative notions of potential output within DSGE models. Furthermore, it provides historical...
Persistent link: https://www.econbiz.de/10009640840
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A joint econometric model of macroeconomic and term structure dynamics
Hördahl, Peter; Tristani, Oreste; Vestin, David - 2004
data, the model is able to capture the salient features of the term structure of interest rates and its forecasting …
Persistent link: https://www.econbiz.de/10009639487
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10009640913