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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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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10010303756
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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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The Role of Commodity Prices in Forecasting U.S. Core Inflation
Gospodinov, Nikolay - 2017
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/10012970034
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10010330969
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A joint affine model of commodity futures and US Treasury yields
Chin, Michael; Liu, Zhuoshi - 2015
Persistent link: https://www.econbiz.de/10010497510
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The roles of inflation expectations, core inflation, and slack in real-time inflation forecasting
Kishor, N. Kundan; Koenig, Evan F. - 2016
approaches to real-time forecasting of headline PCE inflation. We find that performance is enhanced if forecasting equations are … performance to deteriorate. Finally, we demonstrate that forecasting models estimated using the Kishor-Koenig (2012) methodology …-which mandates that each forecasting VAR be augmented with a flexible state-space model of data revisions-consistently outperform the …
Persistent link: https://www.econbiz.de/10011567926
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Evaluating FOMC forecast ranges: an interval data approach
Fischer, Henning; García-Bárzana, Marta; Tillmann, Peter - 2012
The Federal Open Market Committee (FOMC) of the U.S. Federal Reserve publishes the range of members' forecasts for key macroeconomic variables, but not the distribution of forecasts within this range. To evaluate these projections, previous papers compare the midpoint of the ranges with the...
Persistent link: https://www.econbiz.de/10010294451
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Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012
We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several specifications of multivariate time-varying weights are introduced with a particular focus on weight dynamics driven...
Persistent link: https://www.econbiz.de/10010326141
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(Un)Predictability and macroeconomic stability
D’Agostino, Antonello; Giannone, Domenico; Surico, Paolo - 2006
This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve’s Greenbook and the Survey of Professional Forecasters, we...
Persistent link: https://www.econbiz.de/10011604651