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. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …
Persistent link: https://www.econbiz.de/10014223183
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news...
Persistent link: https://www.econbiz.de/10011507830
This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...
Persistent link: https://www.econbiz.de/10012619841
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010257225
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an important source of uncertainty about the state of the economy. This paper evaluates the quality of major real macroeconomic Euro area variables, published by...
Persistent link: https://www.econbiz.de/10010425751
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10010411883
short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …
Persistent link: https://www.econbiz.de/10010395082
coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …
Persistent link: https://www.econbiz.de/10012487265
their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results …
Persistent link: https://www.econbiz.de/10012063951
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012299084