We analyze if and to what extent fundamental macroeconomic factors, temporary influencesor more structural factors have contributed to the low levels of US bond yields over the lastfew years. For that purpose, we start with a general model of interest rate determination. Theempirical part...

We analyze if and to what extent fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the low levels of US bond yields over the last few years. For that purpose, we start with a general model of interest rate determination. The empirical part...

Failures are not rare in economic forecasting, probably due to the high incidence of shocks and regime shifts in the economy. Thus, there is a premium on adaptation in the forecast process, in order to avoid sequences of forecast failure. This paper evaluates a sequence of inflation forecasts in...

The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...

Controlling for structural breaks, this study examines whether the relationship between the interest rate and inflation exhibits common stochastic trends in a sample of Sub-Saharan Africa (SSA) economies. The results indicate that while the Fisher effect does not hold for the entire sample...

We ask whether uncertainty about interest rates is important for economic activity. Causal effects of uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty and real activity cannot contemporaneously react to each other is indeed in line...

We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty can affect real activity contemporaneously but not vice versa is indeed in...

Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While...

Inflation forecasts are a key ingredient for monetary policy-making -- especially in an inflation targeting country such as South Africa. Generally, a typical Dynamic Stochastic General Equilibrium (DSGE) only includes a core set of variables. As such, other variables, e.g. such as alternative...

This paper evaluates inflation forecasts made by Norges Bank which is recognized as a successful forecast targeting central bank. It is reasonable to expect that Norges Bank produces inflation forecasts that are on average better than other forecasts, both 'naïve' forecasts, and forecasts...