historical simulation and historical simulation methods is evaluated using regulatory back tests, unconditional and conditional …

structural analysis and forecasting purposes. We study the evolution of inflation rates in several countries, using a novel model …Global developments play an important role in domestic inflation rates. Previous literature has found that a … substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However …

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of … ahead forecasts of real output, inflation, real equity prices, exchange rates and interest rates over the period 2004Q1 … output, inflation and real equity prices. …

Forecasting the world economy is a difficult task given the complex interrelationships within and across countries …, first, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods … forecasting di- rectly aggregate variables (direct approaches)out-perform methods based on the aggregation of country- specific …

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of …-quarters-ahead forecasts of real output, inflation, real equity prices, exchange rates, and interest rates over the period 2004:Q1-2005:Q4 …, especially for output, inflation, and real equity prices. …