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Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Diebold, Francis X. - 2015

density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the …

Persistent link: https://www.econbiz.de/10013022416

Real-time forecast evaluation of DSGE models with stochastic volatility

Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2017 - This Version: August 18, 2016

density). We examine real-time forecast accuracy for key macroeconomic variables including output growth, inflation, and the …

Persistent link: https://www.econbiz.de/10011755749

Shadow-rate VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023

censored observations of a latent shadow-rate process, and propose an efficient sampler for Bayesian estimation of such “shadow …

Persistent link: https://www.econbiz.de/10014320745

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

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

advantages of structural analysis and use the models for interpreting the recent development of the inflation rate using …

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

Forecasting macroeconomic variables under model instability

Pettenuzzo, Davide; Timmermann, Allan - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10011704162

Measuring Interdependence of Inflation Uncertainty

Lee, Seohyun - 2022

inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another … tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation … uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate …

Persistent link: https://www.econbiz.de/10014078814

A large Bayesian VAR of the United States Economy

Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021

We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...

Persistent link: https://www.econbiz.de/10012613922

Nowcasting and forecasting economic growth in the Euro area using principal components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...

Persistent link: https://www.econbiz.de/10010395082

Quarterly forecasting model for India's economic growth : Bayesian vector autoregression approach

Iyer, Tara; Gupta, Abhijit Sen - 2019

consumer price index (CPI) versus the wholesale price index given India's recent monetary policy regime switch to CPI inflation … include that capital flows to India and CPI inflation have high informational content for India's GDP growth. The results of …

Persistent link: https://www.econbiz.de/10011984158

Real-Time Macroeconomic Forecasting with a Heteroskedastic Inversion Copula

Loaiza-Maya, Ruben - 2018

copula model are competitive with those from benchmark models -- particularly for inflation, a short term interest rate and …

Persistent link: https://www.econbiz.de/10012917529