This study estimates the output gaps for Pakistan, using both the statistical and the structural methods and comparing their results. Though they show some degree of association, the measures reveal inherent differences in the measures of output gap. Based on the annual data of GDP (1951-2007)...

This study estimates the output gaps for Pakistan, using both the statistical and the structural methods and comparing their results. Though they show some degree of association, the measures reveal inherent differences in the measures of output gap. Based on the annual data of GDP (1951-2007)...

We evaluate the ability of several univariate models to predict inflation in the US and in a number of inflation targeting countries at different forecasting horizons. We focus on forecasts coming from a family of ten seasonal models that we call the Driftless Extended Seasonal ARIMA (DESARIMA)...

This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Professional Forecasters, maintained by Banco de México. The study concentrates on the mean across forecasters for the period from January 1995 to April 2008. Their efficiency in...

This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...

Forecasting using "diffusion indices" has received a good deal of attention in recent years. The idea is to use the common factors estimated from a large panel of data to help forecast the series of interest. This paper assesses the extent to which the forecasts are influenced by (i) how the...

March 2011 marked the introduction of the MNB’s Monetary Policy Model (MPM), representing a paradigm shift in both inflation forecasting and monetary policy decision support. In contrast to the previous conditional projections, the MPM offers an endogenous definition for both the policy rate...

This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...

In this article we analyze the accuracy and stability of short-run inflation forecasts for Chile coming from Extended Seasonal Arima (ESARIMA) models. We compare ESARIMA forecasts to those coming from surveys and traditional time series bench- marks available in the literature. Our results show...

The exposure of the argentine banking system to real interest rate changes is material and discourages long term credit. Quantification of this risk would help to manage it and may promote new credit, although it is not an easy job, especially in emerging markets. This paper proposes a Value at...