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This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared....
Persistent link: https://www.econbiz.de/10012034314
This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared....
Persistent link: https://www.econbiz.de/10012063951
Persistent link: https://www.econbiz.de/10001503758
We test for state-dependent bias in the European Central Bank's inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated threshold of 1.8%. The bias is most pronounced at intermediate forecasting...
Persistent link: https://www.econbiz.de/10015179408
The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap … ; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …
Persistent link: https://www.econbiz.de/10009380402
A two-regime self-exciting threshold autoregressive process is estimated for quarterly aggregate GDP of the fifteen countries that compose the European Union, and the forecasts from this nonlinear model are compared, by means of a Monte Carlo simulation, with those from a simple autoregressive...
Persistent link: https://www.econbiz.de/10009714284
commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …
Persistent link: https://www.econbiz.de/10010429924
unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast … bias. - Forecast combination ; forecast evaluation ; data snooping ; real-time data ; Survey of Professional Forecasters …
Persistent link: https://www.econbiz.de/10008771791
equation models suffer a great variation in the forecast performance relative to the benchmark model over the analysed sub … pooling based on the Cross-Validation and the Mallows criterion provide a very stable and accurate forecast performance. …
Persistent link: https://www.econbiz.de/10010472548
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...
Persistent link: https://www.econbiz.de/10003815492