The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

This paper adopts the methodology developed by the Federal Reserve Bank of Atlanta to nowcast the expenditure components of Gross Domestic Product (GDP) for the Australian economy. The aim is to help assess the current state of the economy and to assist with macroeconomic forecasting. A range of...

We compare the performance of six classes of models at forecasting di↵erent types of economic series in an extensive pseudo out-of-sample exercise. Our findings can be summarized in a few points: (i) Regularized Data-Rich Model Averaging techniques are hard to beat in general and are the best...

This article re-examines the findings of Stock and Watson (2012b) who assessed the predictive performance of dynamic factor models (DFM) over autoregressive (AR) bench-marks for hundreds of target variables by focusing on possible business cycle performance asymmetries in the spirit of Chauvet...

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short...

This paper develops a long run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focus on short...

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...