small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short …

macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation …

macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate … predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error … also shown to hold over the most recent period in which it has been hard to forecast inflation. - Forecasting ; Inflation …

for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no … information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of … Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …

last two years, can well be explained. Alongside the more traditional macroeconomic determinants like core inflation … model in different forecasting exercises. -- bond yields ; interest rates ; cointegration ; inflation ; forecasting …