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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …
Persistent link: https://www.econbiz.de/10011809984
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The empirical modelling of house prices and debt revisited : a policy-oriented perspective
Boug, Pål; Hungnes, Håvard; Kurita, Takamitsu - 2021
The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices and household debt with a policy-oriented perspective using Norwegian...
Persistent link: https://www.econbiz.de/10012800701
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On mean reversion in real interest rates: An application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in …
Persistent link: https://www.econbiz.de/10010292774
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Modeling national accounts sub-aggregates: An application of non-linear error correction
Jumah, Adusei; Kunst, Robert M. - 2004
several forecasting experiments. …
Persistent link: https://www.econbiz.de/10010293724
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Monetary policy analysis in real-time: Vintage combination from a real-time dataset
Altavilla, Carlo; Ciccarelli, Matteo - 2011
matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities' reaction functions, we show that this simple method can improve forecasting performance and provide …
Persistent link: https://www.econbiz.de/10010274753
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Forecast with judgment and models
Monti, Francesca - 2008
model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic …
Persistent link: https://www.econbiz.de/10011506673
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Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10008990694
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Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - 1999
multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for …
Persistent link: https://www.econbiz.de/10009768272
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of … models are inferior in ex-ante forecasting a crisis. Surprisingly however, it turned out that not all but those models which … only detect the turning point of the Austrian business cycle early in 2008 but they also succeeded in forecasting the …
Persistent link: https://www.econbiz.de/10011561187