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Evaluating point and density forecasts of DSGE models
Wolters, Maik H. - 2012
This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical US data vintages synchronized with the Fed's Greenbook...
Persistent link: https://www.econbiz.de/10010392192
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Evaluating point and density forecasts of DSGE models
Wolters, Maik H. - 2013
This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as...
Persistent link: https://www.econbiz.de/10009792175
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Bilinear forecast risk assessment for non-systematic inflation: Theory and evidence
Charemza, Wojciech; Kharin, Yuriy; Maevskiy, Vladislav - Department of Economics, Leicester University - 2012
concept of the guaranteed upper risk of forecasting and the d-admissible distortion level is defined here. In order to make …
Persistent link: https://www.econbiz.de/10010583448
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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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Forecasting Macedonian Inflation: Evaluation of different models for short-term forecasting
Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017
Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …
Persistent link: https://www.econbiz.de/10011785369
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Does the Phillips curve help to forecast euro area inflation?
Banbura, Marta; Bobeica, Elena - 2020
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012422133
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Disagreement and Biases in Inflation Expectations
Capistrán, Carlos; Timmermann, Allan - Banco de México - 2006
Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data. Furthermore, the extent of such disagreement varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation...
Persistent link: https://www.econbiz.de/10004974506
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Do inflation expectations improve model-based inflation forecasts?
Bańbura, Marta; Leiva-Leon, Danilo; Menz, Jan-Oliver - 2021
Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF and Consensus Economics compared to their...
Persistent link: https://www.econbiz.de/10012661632
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Do inflation expectations improve model-based inflation forecasts?
Bańbura, Marta; Leiva-León, Danilo; Menz, Jan-Oliver - 2021
Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF and Consensus Economics compared to their...
Persistent link: https://www.econbiz.de/10012797207
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Inflation forecasting in the Western Balkans and EU: A comparison of Holt-Winters, ARIMA and NNAR models
Karadzic, Vesna; Pejovic, Bojan - In: Amfiteatru Economic Journal 23 (2021) 57, pp. 517-532
policy is not implemented in the same way and the NNAR models are better for inflation forecasting. …
Persistent link: https://www.econbiz.de/10014461862