This paper sifts through explanations for the weakness of the out-of-sample evidence on the Phillips curve relative to the in-sample evidence, focusing on the output gap-based models. One explanation could be that, even when the model are stable, out-of-sample metrics are less powerful than...

In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...

We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of Norwegian Gross Domestic Product (GDP) as the business cycle indicator. The...

We define and forecast classical business cycle turning points for the Norwegian economy. When defining reference business cycles, we compare a univariate and a multivariate Bry-Boschan approach with univariate Markov-switching models and Markov-switching factor models. On the basis of a...

We analyze the performance of a broad range of nowcasting and short-term forecasting models for a representative set of twelve old and six new member countries of the European Union (EU) that are characterized by substantial differences in aggregate output variability. In our analysis, we...

This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...

We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...

In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with steady-state prior and compare the accuracy of the forecasts against the forecasts of QPM model and official NBU forecasts over the period 2016q1-2020q1. My findings suggest that inflation...

We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation and its predictors) into several frequency bands and forecasting...

Forecasting consumer prices for package holidays, which represent a major driver of the inflation rate in Germany, poses some practical challenges. With a substantial share in the underlying consumer basket, prices for package holidays exhibit strong seasonality, notable volatility, and...