Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10011739554
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...
Persistent link: https://www.econbiz.de/10014528602
We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework...
Persistent link: https://www.econbiz.de/10014380740
Persistent link: https://www.econbiz.de/10011793192
Persistent link: https://www.econbiz.de/10011610554
Persistent link: https://www.econbiz.de/10011805831
Persistent link: https://www.econbiz.de/10012116822
Persistent link: https://www.econbiz.de/10012262467
We propose a new measure of underlying inflation that provides real-time information on asymmetric risks in the outlook for inflation. The asymmetries are generated by nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework estimated...
Persistent link: https://www.econbiz.de/10014352717
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging...
Persistent link: https://www.econbiz.de/10013011832