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The role of commodity prices in forecasting U.S. core inflation

Gospodinov, Nikolaj - 2016

This note documents a curious finding about the substantial forecast ability of a simple aggregator of three commodity futures prices for U.S. core inflation. The proposed aggregator reduces the out-of-sample root mean squared error for 12-month-ahead inflation forecasts of the benchmark AR(1)...

Persistent link: https://www.econbiz.de/10011428084

The role of targeted predictors for nowcasting GDP with bridge models : application to the euro area

Kitlinski, Tobias; Meulen, Philipp an de - 2015

- and hard-threshold algorithms improves the forecasting performance, especially during periods of economic crisis. While a … effect on forecasting performance, all the more, if the set of indicators becomes unbalanced. …

Persistent link: https://www.econbiz.de/10010532088

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound

Berg, Tim Oliver - 2015

This paper discusses how the forecast accuracy of a Bayesian vector autoregression (BVAR) is affected by introducing the zero lower bound on the federal funds rate. As a benchmark I adopt a common BVAR specification, including 18 variables, estimated shrinkage, and no nonlinearity. Then I...

Persistent link: https://www.econbiz.de/10011306293

With or without you : do financial data help to forecast industrial production?

Kitlinski, Tobias - 2015

This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to … evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models …-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was …

Persistent link: https://www.econbiz.de/10010529472

Monthly recession predictions in real time : a density forecast approach for German industrial production

Rietzler, Katja; Stephan, Sabine - 2012

In this paper we present a methodology which can help to improve the assessment of the current economic situation. We propose an approach which combines multivariate single equations to forecast the monthly growth rate of industrial production with a density forecast. This allows to estimate the...

Persistent link: https://www.econbiz.de/10009616512

GDPNow : a model for GDP "nowcasting"

Higgins, Patrick - 2014

This paper documents GDPNow, a "nowcasting" model for gross domestic product (GDP) growth that synthesizes the "bridge equation" approach relating GDP subcomponents to monthly source data with the factor model approach used by Giannone, Reichlin, and Small (2008). The GDPNow model forecasts GDP...

Persistent link: https://www.econbiz.de/10010382060

Evaluating point and density forecasts of DSGE models

Wolters, Maik H. - 2013

This paper investigates the accuracy of forecasts from four DSGE models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed’s Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as...

Persistent link: https://www.econbiz.de/10009792175

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

Point and density forecasts for the Euro area using many predictors : are large BVARs really superior?

Berg, Tim Oliver; Henzel, Steffen - 2013

Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....

Persistent link: https://www.econbiz.de/10010342246

A note on the representative adaptive learning algorithm

Berardi, Michele; Galimberti, Jaqueson K. - 2014

best overall performance both in terms of forecasting accuracy and in matching (future) survey forecasts. …

Persistent link: https://www.econbiz.de/10010344932