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Forecasting German key macroeconomic variables using large dataset methods
Pirschel, Inske; Wolters, Maik H. - 2014
of the different models, respectively. We find that overall the large Bayesian VAR and the Bayesian factor augmented VAR …
Persistent link: https://www.econbiz.de/10010357899
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Mind the Gap : What is the Best Measure of Slack in the Euro Area?
Ubide, Angel J. - 2021
Assessing the magnitude of the output gap is critical to achieving an optimal policy mix. Unfortunately, the gap is an unobservable variable, which, in practice, has been estimated in a variety of ways, depending on the preferences of the modeler. This model selection problem leads to a...
Persistent link: https://www.econbiz.de/10013211944
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An Inflation-Predicting Measure of the Output Gap in the Euro Area
Jarocinski, Marek - 2016
Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time...
Persistent link: https://www.econbiz.de/10012981025
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Forecasting German key macroeconomic variables using large dataset methods : conference paper
Pirschel, Inske; Wolters, Maik H. - 2014
models, a large Bayesian VAR and model averaging techniques, where aggregation takes place before, during and after the … estimation of the different models, respectively. We find that overall the large Bayesian VAR provides the most precise forecasts … compared to the other large scale approaches and a number of small benchmark models. For some variables the large Bayesian VAR …
Persistent link: https://www.econbiz.de/10010489849
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Financial instability and economic activity
Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021
estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in …
Persistent link: https://www.econbiz.de/10012792745
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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The euro area government spending multiplier in demand- and supply-driven recessions
Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; … - 2022
We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high...
Persistent link: https://www.econbiz.de/10013174156
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The euro area government spending multiplier in demand- and supply-driven recessions?
Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; … - 2023
We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high...
Persistent link: https://www.econbiz.de/10014364021
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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10010303756
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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10003973758