The concept of causality introduced by Wiener (1956) and Granger (1969) is defined in terms of predictability one … causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …

no predictability. In this paper, we expand the scope of inflation predictability and explore whether macroeconomic …, housing starts, and the term spread provide significant out-of-sample predictability for the distribution of core inflation … research shows that macroeconomic indicators do not add much to the predictability of the future mean inflation. This paper …

(VAR) forecasting models. The analyses show that certain factor-augmented VAR models improve upon a simple univariate …

notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

exchange rate pass-through to domestic prices in the European transition economies. We estimate VAR model to investigate (1 …