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. …

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … period of 1994-2008. Except for short-term forecasts of inflation and interest rates, it is as good as or clearly outperforms …

In this paper we develop a small open economy model explaining the joint determination of output, inflation, interest …

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in …

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 …

model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic …

model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic …

.S. inflation. …

-of-sample ; prediction ; testing ; multiple model comparisons ; inflation forecasting …-statistic has best power. We illustrate, our procedures by comparing forecasts of different models for U.S. inflation. -- Out …