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Do inflation expectations improve model-based inflation forecasts?

Bańbura, Marta; Leiva-Leon, Danilo; Menz, Jan-Oliver - 2021

find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide … useful information. By contrast, incorporating expectations derived from financial market prices or those of firms and …

Persistent link: https://www.econbiz.de/10012643485

Does the Phillips curve help to forecast euro area inflation?

Bańbura, Marta; Bobeica, Elena - 2020

; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …

Persistent link: https://www.econbiz.de/10012299084

Evaluating point and density forecasts of DSGE models

Wolters, Maik H. - 2013

This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as...

Persistent link: https://www.econbiz.de/10009792175

Evaluating point and density forecasts of DSGE models

Wolters, Maik H. - 2012

This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical US data vintages synchronized with the Fed's Greenbook...

Persistent link: https://www.econbiz.de/10010392192

Analysing and forecasting price dynamics across euro area countries and sectors : a panel VAR approach

Dées, Stéphane; Güntner, Jochen - 2014

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …

Persistent link: https://www.econbiz.de/10010411883

Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

Persistent link: https://www.econbiz.de/10012154125

The COVID-19 shock and challenges for time series models

Bobeica, Elena; Hartwig, Benny - 2021

variables, but also by tilting to expectations from the Survey of Professional Forecasters. For Phillips curves, averaging …

Persistent link: https://www.econbiz.de/10012519429

Structural multi-equation macroeconomic models : identification-robust estimation and fit

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - 2009

Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. While the extensive econometric...

Persistent link: https://www.econbiz.de/10003852909

Point and density forecasts for the euro area using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...

Persistent link: https://www.econbiz.de/10010257225

Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?

Berg, Tim Oliver; Henzel, Steffen - 2013

Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....

Persistent link: https://www.econbiz.de/10010342246