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This paper estimates a small structural model of the Australian economy, designed principally for forecasting the key … foundations, which are often used for forecasting, the Bayesian Vector Autoregressive Dynamic Stochastic General Equilibrium (BVAR … prior information for the VAR. The forecasting performance of the model is competitive with benchmark models such as a …
Persistent link: https://www.econbiz.de/10005423675
This paper demonstrates that factor-based forecasts for key Australian macroeconomic series can outperform standard time-series benchmarks. In practice, however, the advantages of using large panels of data to construct the factors typically comes at the cost of using less timely series, thereby...
Persistent link: https://www.econbiz.de/10005398652
Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data. Furthermore, the extent of such disagreement varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation...
Persistent link: https://www.econbiz.de/10004974506
from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting …
Persistent link: https://www.econbiz.de/10004976646
cases, the forecasting models that include estimated IRG do not outperform a simpler AR model augmented with the first …
Persistent link: https://www.econbiz.de/10004977143
This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also...
Persistent link: https://www.econbiz.de/10011140923
This paper evaluates the quality of survey forecasts, their accuracy and unbiasedness, and their overall consistency. The paper also tries to find out whether the relationships between economic variables are the same in survey data and in the actual data. In other words we analyze whether the...
Persistent link: https://www.econbiz.de/10011140924
We study the directional accuracy of South African survey data of short-term and longer-term inflation forecasts. Upon applying techniques developed for the study of relative operating characteristic (ROC) curves, we find evidence that forecasts contain information with respect to the subsequent...
Persistent link: https://www.econbiz.de/10011096977
, forecasting performance increases substantially when the construction of optimal weights takes uncertainty around states into …
Persistent link: https://www.econbiz.de/10011098671
spread in a real-time forecasting exercise. However, the predictive ability of the mortgage spread varies over time. …
Persistent link: https://www.econbiz.de/10011109115