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Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

priors can be naturally elicited using economic theory, which provides guidance on the joint dynamics of macroeconomic time …

Persistent link: https://www.econbiz.de/10011802148

Bayesian Compression for Mixed Frequency Vector Autoregressions : A Forecast Study for Germany

Götz, Thomas - 2018

Up until now, the concept of compression in single- or multivariate regressions has been limited to the common-frequency case. Having an application of macroeconomic forecasting in mind, one inevitably has to deal with variables sampled at various frequencies. Consequently, this work attempts to...

Persistent link: https://www.econbiz.de/10012912645

The Usefulness of the Median CPI in Bayesian Vars Used for Macroeconomic Forecasting and Policy

Meyer, Brent - 2017

In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated...

Persistent link: https://www.econbiz.de/10012967377

Alternative Bayesian Compression in Vector Autoregressions and Related Models

Tsionas, Mike G. - 2022

In this paper we reconsider large Bayesian Vector Autoregressions (BVAR) from the point of view of Bayesian Compressed …

Persistent link: https://www.econbiz.de/10014078868

Conditional Forecasts in Large Bayesian VARs with Multiple Soft and Hard Constraints

Chan, Joshua CC; Pettenuzzo, Davide; Poon, Aubrey; Zhu, Dan - 2023

Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number of applied settings. In spite of this, the existing algorithms used to generate conditional forecasts tend to be very...

Persistent link: https://www.econbiz.de/10014257362

Impact of globalization on macroeconomic dynamics using a time-varying Bayesian VAR

Pleșa, Georgiana - In: Prague economic papers : a bimonthly journal of … 33 (2024) 4, pp. 380-413

In the last two decades, advances in globalization have evolved remarkably and countries have become more integrated with the entire world. The implications of this process have attracted interest of researchers and monetary policy authorities. This paper provides an assessment of the impact of...

Persistent link: https://www.econbiz.de/10015073328

Detecting excessive credit growth : an approach based on structural counterfactuals

Saß, Magnus - 2024

economic drivers are assumed to be non-excessive (aggregate demand and supply shocks), and others to be potentially excessive …

Persistent link: https://www.econbiz.de/10015053486

Combining Bayesian VARs with Survey Density Forecasts : Does it Pay Off?

Banbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021

This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR …-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional … Forecasters (SPF) provides good point forecast performance, but also that SPF forecasts perform poorly in terms of densities for …

Persistent link: https://www.econbiz.de/10013229967

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - 2022

This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...

Persistent link: https://www.econbiz.de/10013472790

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

Berg, Tim Oliver; Henzel, Steffen - 2013

sufficient prior information dominates competing approaches. In this paper we evaluate the forecast performance of large BVAR in …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 …

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