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Improving forecasting performance by window and model averaging
Bhattacharya, Prasad S.; Thomakos, Dimitrios D. - 2011
minimizes the pitfalls associated with potential structural breaks. Exchange rate forecasting, inflation forecasting, output …
Persistent link: https://www.econbiz.de/10009011332
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Inflation, Real Economic Growth and Unemployment Expectations : An Empirical Analysis Based on the ECB Survey of Professional Forecasters
Ramos-Herrera, María del Carmen - 2017
Expectations are at the centre of modern macroeconomic theory and policymakers. In this paper, we examine the predictive ability and the consistency properties of macroeconomic expectations using data of the European Central Bank (ECB) Survey of Professional Forecasters (SPF)
Persistent link: https://www.econbiz.de/10012961331
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Heuristics versus Econometrics as a Basis For Forecasting International Inflation Differentials
Rötheli, Tobias F. - 2018
Purpose: This study addresses the issue of prediction of inflation differences for an economy that considers either … inflation and anticipating the possible course of domestic inflation relative to inflation abroad becomes an important input in … simplest such forecasting heuristic suggests that the average over all available observations of inflation differentials should …
Persistent link: https://www.econbiz.de/10012935964
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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2015
strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … benchmark model that does not account for changes in trend inflation and trend unemployment. …
Persistent link: https://www.econbiz.de/10011326550
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Improving Forecasting Performance by Window and Model Averaging
Bhattacharya, Prasad S. - 2011
countries, US inflation rate and US output growth rate. For exchange rates, we use the dataset of Molodtsova and Papell (2009 … the forecasting ability of ‘simpler' economic models of exchange rates. With respect to US inflation and output growth …
Persistent link: https://www.econbiz.de/10013128737
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Quarterly Projection Model for the National Bank of Rwanda
Vlček, Jan; Pranovich, Mikhail; Hitayezu, Patrick; … - 2021
National Bank of Rwanda (BNR) modernized monetary policy and transited to the price-based policy framework in January 2019. The Forecasting and Policy Analysis System (FPAS) is the cornerstone for the new forward-looking framework, which mobilizes and organizes resources and sets processes for...
Persistent link: https://www.econbiz.de/10013249729
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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2019
strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend …
Persistent link: https://www.econbiz.de/10012118184
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Quarterly Projection Model for Vietnam : A Hybrid Approach for Monetary Policy Implementation
Epstein, Natan P.; Górnicka, Lucyna; Ha, Nga; Musil, Karel - 2022
We present a newly developed Quarterly Projection Model (QPM) for Vietnam. This QPM represents an extended version of the canonical New Keynesian semi-structural model, accounting for Vietnam-specific factors, including a hybrid monetary policy framework. The model incorporates the array of...
Persistent link: https://www.econbiz.de/10014081236
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The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
uncertainty as well as disagreement among CPI inflation forecasters to account for different dimensions of uncertainty. Based on a …
Persistent link: https://www.econbiz.de/10011532311
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...
Persistent link: https://www.econbiz.de/10011489395