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practice using data from Sweden. We compare the forecast performance of BVAR and DSGE models with the Riksbank's official, more …- and judgment based forecasts, and show that the combined forecast performs well out-of-sample. In addition, we show the …
Persistent link: https://www.econbiz.de/10011585648
In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated...
Persistent link: https://www.econbiz.de/10011561107
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …
Persistent link: https://www.econbiz.de/10011305389
growth, inflation, and unemployment over 1985-2020, we find pervasive overreaction to news at most of the monthly forecast …
Persistent link: https://www.econbiz.de/10012226771
quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …
Persistent link: https://www.econbiz.de/10011685344
property that as the forecast horizon shortens accuracy improves. On average, forecasters underpredict inflation, but this …-ahead forecasts but not for current year. Tests' results point to forecast inefficiency which is also evidenced by a tendency to … inflation rate and the extent of underprediction increases during recessions. The hypothesis of forecast efficiency is …
Persistent link: https://www.econbiz.de/10011779567
, reveals a slight trend towards increased forecast accuracy as the daily variable approaches a full month for certain horizons. …
Persistent link: https://www.econbiz.de/10011771633
the business survey, i.e. the survey replies by the price-setters themselves, contributes most to these forecast …
Persistent link: https://www.econbiz.de/10011920503
This is done in relation to the benchmark of World Economic Outlook (WEO) projections by the International Monetary Fund. Amid much heterogeneity across countries and years, it has been found that ADO and WEO projections overlap quite closely. Both are inaccurate, especially during crisis years,...
Persistent link: https://www.econbiz.de/10011955528
Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...
Persistent link: https://www.econbiz.de/10011924714