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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
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Mauricio - 2018
During the year 2016, the Central Bank of Argentina has begun to announce inflation targets. In this context, providing the authorities of good estimates of relevant macroeconomic variables turns out to be crucial to make the pertinent corrections to reach the desired policy goals. This paper...
Persistent link: https://www.econbiz.de/10011846246
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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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
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012154665
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Macroeconomic uncertainty and forecasting macroeconomic aggregates
Reif, Magnus - 2018
Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...
Persistent link: https://www.econbiz.de/10011918367
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012119825
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VAR Forecasting Using Bayesian Variable Selection
Korobilis, Dimitris - 2014
is assessed in forecasting three major macroeconomic time series of the UK economy. Data-based restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …
Persistent link: https://www.econbiz.de/10013070239
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DSGE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
Gupta, Rangan - 2013
1999Q4, and generate recursive forecasts over 2000Q1-2011Q4. The hybrid DSGE performs extremely well in forecasting …
Persistent link: https://www.econbiz.de/10013072194
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Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
McAlinn, Kenichiro - 2019
multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed … application in the topical and challenging context of multi-step macroeconomic forecasting in a monetary policy setting. BPS … motivated by the application context – sequential forecasting of multiple US macroeconomic time series with forecasts generated …
Persistent link: https://www.econbiz.de/10012892757