forecasting performance of the various models for a set of US macroeconomic and financial indicators. Our results suggest that …

variables in the model, rather than just on future paths as it is usually done in the conditional forecasting literature. The … forecasting densities of a BVAR and a DSGE model on information about the marginal densities of future oil prices. The results …-inflation over the considered forecasting horizon. Finally, a real-time forecasting exercise yields that introducing market …