Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

-PC technique is proposed. To determine the practical usefulness of the model, several pseudo forecasting exercises on 8 series of …», namely 1984. After 1984, FNN-PC has the same accuracy in forecasting with respect to the benchmark. …

In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term … variables in forecasting the yield curve. We have reached numbers of important results: 1—Macroeconomic variables are very … useful in forecasting the yield curve. 2—The forecasting performances of the models depend on the period under review. 3 …

a nowcast of the structural model. We show empirical results for the quarterly growth rate of GDP, the monthly …

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different … can disentangle the role of unit labour costs and profit margins as the factors affecting price pressures on the supply …

This paper uses a panel VAR (PVAR) approach to estimating, analysing, and forecasting price dynamics in four different … can disentangle the role of unit labour costs and profit margins as the factors affecting price pressures on the supply …

sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and …

some Asian factors exhibit long memory that is in line with existing empirical findings in financial volatility. However …, their local-factor SVF model is not powerful enough in forecasting Asian volatility. This has led us to propose an extension …

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

forecasting accuracy and then perform a structural exercise focused on the effect of a monetary policy shock on the macroeconomy …. Results show that BVARs estimated on the basis of hundred variables perform well in forecasting and are suitable for …