This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...

In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with steady-state prior and compare the accuracy of the forecasts against the forecasts of QPM model and official NBU forecasts over the period 2016q1-2020q1. My findings suggest that inflation...

We show that the New Keynesian Phillips Curve (NKPC) outperforms standard benchmarks in forecasting U.S. inflation once frequency-domain information is taken into account. We do so by decomposing the time series (of inflation and its predictors) into several frequency bands and forecasting...

The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to intensify. This paper examines empirical...

This paper proposes a new method for empirically validate simulation models that generate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by...

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi-step predictions from both non-nested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time,...

Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces noise into its forecasts by estimating parameters whose population values are zero. We observe that...

Engel and West (2005) model log exchange rates as discounted log fundamentals. For ‘commodity currencies', commodity prices are often viewed as key fundamentals, implying that commodity prices should, therefore, be predicted by exchange rates and not vice-versa - which would run counter to a...

This paper uses a New-Keynesian model with multiple monetary assets to show that if the choice of instrument is based solely on its propensity to predict macroeconomic targets, a central bank may choose an inferior policy instrument. We compare a standard interest rate rule to a k-percent rule...