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Persistent link: https://www.econbiz.de/10001642276
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10009725013
Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...
Persistent link: https://www.econbiz.de/10009735355
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Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...
Persistent link: https://www.econbiz.de/10003962215
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...
Persistent link: https://www.econbiz.de/10003832342
Zeitpunkten werden präsentiert und diskutiert. -- Mehrländermodell ; Prognose ; Bayesianische Ökonometrie …
Persistent link: https://www.econbiz.de/10003950731
We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...
Persistent link: https://www.econbiz.de/10012295853
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We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple...
Persistent link: https://www.econbiz.de/10011780949