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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

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 …

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

Forecasting euro area inflation

Hubrich, Kirstin - 2003

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inﬂation can be improved by aggregating forecasts of...

Persistent link: https://www.econbiz.de/10009635954

Predicting recession probabilities with financial variables over multiple horizons

Fornari, Fabio; Lemke, Wolfgang - 2010

We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any point in time, the ProbVAR allows to...

Persistent link: https://www.econbiz.de/10009640285

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

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

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

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

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

-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less …

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

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying inﬂation to formulate monetary policy and assist in forecasting observed inﬂation. Recent work has concentrated on modelling large datasets using...

Persistent link: https://www.econbiz.de/10009639462

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