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How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach
Ziegler, Christina; Eickmeier, Sandra - 2006
relate to the forecasting environment (which cannot be influenced by the forecasters). Among the variables capturing the … forecasting design (which can, by contrast, be influenced by the forecasters), the size of the dataset from which factors are … unbalanced panel, whether restrictions implied by the factor structure are imposed in the forecasting equation or not and whether …
Persistent link: https://www.econbiz.de/10010295831
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The FRBNY Staff Underlying Inflation Gauge: UIG
Amstad, Marlene; Potter, Simon; Rich, Robert - 2014
Monetary policymakers and long-term investors would benefit greatly from a measure of underlying inflation that uses all relevant information, is available in real time, and forecasts inflation better than traditional underlying inflation measures such as core inflation measures. This paper...
Persistent link: https://www.econbiz.de/10011340981
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Developing an underlying inflation gauge for China
Amstad, Marlene; Huan, Ye; Ma, Guonan - 2014
information. Finally, when forecasting the headline CPI, our UIG for China outperforms traditional core measures over different …
Persistent link: https://www.econbiz.de/10011420978
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Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases
Giannone, Domenico; Reichlin, Lucrezia; Small, David H. - 2006
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...
Persistent link: https://www.econbiz.de/10011604679
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Forecasting inflation and tracking monetary policy in the euro area: does national information help?
Cristadoro, Riccardo; Venditti, Fabrizio; Saporito, Giuseppe - 2008
The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...
Persistent link: https://www.econbiz.de/10011604946
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Inflation decomposition model: Application to Macedonian inflation
Andonova, Danica Unevska - 2018
results of the model's forecasting performance suggest that this model can be a useful analytical tool in the process of … to MAKPAM and enriches the set of tools for forecasting and monetary policy analysis in NBRM. In this paper we highlight …
Persistent link: https://www.econbiz.de/10012109773
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The properties of inflation expectations: Evidence for India
Sharma, Naresh Kumar; Bicchal, Motilal - In: EconomiA 19 (2018) 1, pp. 74-89
Empirical inferences about particular forms of agents’ inflation expectations are crucial for the conduct of monetary policy. This paper is an attempt to explore the properties of the Reserve Bank of India’s survey data of households’ inflation expectations. The paper shows that survey...
Persistent link: https://www.econbiz.de/10011858505
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Predicting inflation in Euroland: the Pstar approach
Scheide, Joachim; Trabandt, Mathias - 2000
Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...
Persistent link: https://www.econbiz.de/10010265458
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Forecasting nonlinear aggregates and aggregates with time-varying weights
Luetkepohl, Helmut - 2010
aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed … theoretical setup and the forecasting results. …
Persistent link: https://www.econbiz.de/10010270456
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A suite of inflation forecasting models
Álvarez González, Luis Julián; Sánchez García, Isabel - 2017
models that allow for a slowly evolving local mean when forecasting inflation …
Persistent link: https://www.econbiz.de/10012529595