Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

. While the forecasting error of the combined forecast tends to be systematically smaller than that of the individual model …

to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …

. 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 … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …

forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy …. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for …

sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and …