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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 on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...
Persistent link: https://www.econbiz.de/10009640356
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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
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To aggregate or not to aggregate?
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
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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
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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...
Persistent link: https://www.econbiz.de/10009640469
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Similarities and convergence in G-7 cycles
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
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Household's portfolio structure in Germany
Ramb, Fred; Scharnagl, Michael - 2011
Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interestrate elasticities were calculated using a unique new quarterly financial accounts macrodata set which covers the period from...
Persistent link: https://www.econbiz.de/10009640844
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What drives personal consumption?
Slacalek, Jiri - 2009
I investigate the effect of wealth on consumption in a new dataset with financial and housing wealth from 16 countries …. The baseline estimation method based on the sluggishness of consumption growth implies that the eventual (long … area economies, consumption only barely reacts to wealth elsewhere. The effect of housing wealth is somewhat smaller than …
Persistent link: https://www.econbiz.de/10009640462
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How large are housing and financial wealth effects?
Carroll, Christopher D.; Otsuka, Misuzu; Slacalek, Jiri - 2010
This paper presents a simple new method for measuring `wealth effects' on aggregate consumption. The method exploits … the stickiness of consumption growth (sometimes interpreted as reflecting consumption `habits') to distinguish between …
Persistent link: https://www.econbiz.de/10009640516
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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