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Euro area real-time density forecasting with financial or labor market frictions

McAdam, Peter; Warne, Anders - 2018

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...

Persistent link: https://www.econbiz.de/10011813503

A severity function approach to scenario selection

Mokinski, Frieder - 2017

The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...

Persistent link: https://www.econbiz.de/10011755965

Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive …

Persistent link: https://www.econbiz.de/10012154665

Combining Bayesian VARs with survey density forecasts : does it pay off?

Bańbura, 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/10012507233

Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs

Chan, Joshua C. C. - 2019

to estimate BVARs with this family of priors - for a BVAR with 25 variables and 4 lags, obtaining 10,000 posterior draws …

Persistent link: https://www.econbiz.de/10012864330

Bayesian Forecast Combination for VAR Models

Andersson, Michael; Karlsson, Sune - 2008

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which … variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable … models include the forecast variables, but may otherwise have differing sets of endogenous variables. This is a difficult …

Persistent link: https://www.econbiz.de/10014221496

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - 2014

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a...

Persistent link: https://www.econbiz.de/10014159131

Priors from General Equilibrium Models for Vars

Del Negro, Marco; Schorfheide, Frank - 2014

This paper uses a simple New Keynesian monetary DSGE model as a prior for a vector autoregression and shows that the resulting model is competitive with standard benchmarks in terms of forecasting and can be used for policy analysis

Persistent link: https://www.econbiz.de/10014048878

Priors from General Equilibrium Models for Vars

Del Negro, Marco; Schorfheide, Frank - 2002

This paper uses a simple New-Keynesian monetary DSGE model as a prior for a VAR, shows that the resulting model is competitive with standard benchmarks in terms of forecasting, and can be used for policy analysis

Persistent link: https://www.econbiz.de/10014112365

Chapter 1 Bayesian Forecasting

Geweke, John; Whiteman, Charles - 2006

Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...

Persistent link: https://www.econbiz.de/10014023705