We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's...

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I...

This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood...

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I...

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility calculation, therefore, has become an important aspect in the financial markets. For these reasons time series models are greatly used to forecast volatility. One such model is...

This chapter is concerned with methods for analyzing spatial data. After initial discussion of the nature of spatial data, including the concept of randomness, we focus most of our attention on linear regression models that involve interactions between agents across space. The introduction of...

We verify whether cocoa prices could be a source of inflation in five countries of the West African region within a framework that includes other variables such as migrant remittances to the region and a fiscal policy variable represented by the government budget deficit. Unlike earlier studies...

Das Papier untersucht die Rolle von Frühindikatoren bei der Erstellung von Konjunkturprognosen. Gegenstand der Analyse sind die Fragen: Welche Kriterien sollten Frühindikatoren generell erfüllen bzw. was sollten Frühindikatoren leisten? Inwieweit erfüllen die gängigen Indikatoren diese...

The paper explores regional trade integration of the countries involved in the EU eastward enlargement (EU-25) processes distinguishing the possible regional trade clusters within EU-25 that may support integration of the EU-15 and the new member states. We examine whether the gravity equation...

The paper aims to explore international trade flows of the countries involved in the EU eastward enlargement processes – the current EU members (EU15) and the candidate countries (CC12). The empirical results of the study allow us to conclude that the behaviour of bilateral trade flows within...