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The role of commodity prices in forecasting U.S. core inflation
Gospodinov, Nikolaj - 2016
This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...
Persistent link: https://www.econbiz.de/10011428084
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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2018
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on …
Persistent link: https://www.econbiz.de/10011883796
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Dynamic prediction pools: An investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …
Persistent link: https://www.econbiz.de/10011340986
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A First Look on the New Halle Economic Projection Model
Giesen, Sebastian; Holtemöller, Oliver; Scharff, Juliane; … - 2010
In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model - the Halle Economic Projection Model (HEPM) - is closely related to studies recently published...
Persistent link: https://www.econbiz.de/10010271586
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
pools, and use it to investigate the relative forecasting performance of dynamic stochastic general equilibrium (DSGE …
Persistent link: https://www.econbiz.de/10010414783
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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/10012643485
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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/10012792526
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Does the Phillips curve help to forecast euro area inflation?
Bańbura, 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/10012299084
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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/10011717605
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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/10011926820