Similar Search Results

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 Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...

Persistent link: https://www.econbiz.de/10010343909

Forecasting the interindustry development of the German economy : the model I FORGE

Lutz, Christian; Meyer, Bernd; Distelkamp, Martin; … - 2003

INFORGE is a German interindustry forecasting model, that is based on the INFORUM philosophy. It has been used in a …

Persistent link: https://www.econbiz.de/10010346887

Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

Persistent link: https://www.econbiz.de/10011583556

Forecasting performance of an open economy Dynamic Stochastic General Equilibrium model

Adolfson, Malin; Lindé, Jesper; Villani, Mattias - 2006 - Revised

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

Persistent link: https://www.econbiz.de/10011584035

GARCH, implied volatilities and implied distributions : an evaluation for forecasting purposes

Aguilar, Javiera - 1999

historical by nature such as different GARCH models. I find that implied volatility has predictive power in forecasting future …

Persistent link: https://www.econbiz.de/10011584558

Inference in vector autoregressive models with an informative prior on the steady state

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10011585058

Evaluation of exchange rate forecasts for the krona's nominal effective exchange rate

Degrér, Henrik; Hansen, Jan; Sellin, Peter - 2001

In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular …

Persistent link: https://www.econbiz.de/10011585089

Modern forecasting models in action : improving macroeconomic analyses at central banks

Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - 2006 - Revised version

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

Persistent link: https://www.econbiz.de/10011585648

Oil and product price dynamics in international petroleum markets

Lanza, Alessandro; Manera, Matteo; Giovannini, Massimo - 2003

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the...

Persistent link: https://www.econbiz.de/10011592760