Handbook of Economic Forecasting : volume 2, part A

Online-Ressource (719 p)

Ill.

Handbooks in economics. - Amsterdam [u.a.] : Elsevier, ISSN 2772-462X, ZDB-ID 2685869-1. - Vol. [24]

Description based upon print version of record

Half Title; Title Page; Copyright; Dedication; Contents; Introduction to the Series; Contributors; Section I Macro Forecasting; 1 Forecasting Inflation; 1 Introduction; 2 Approach for Our General Review; 2.1 A Triply Great Sample and its Problems; 2.2 Measures of Inflation; 2.3 Metrics and Inference; 2.4 Forecasts; 2.5 A Roundup of Forecasting Models; 2.6 Results of the Forecast Comparison Exercise; 2.7 Four Principles; 2.7.1 Subjective Forecasts Do Best; 2.7.2 Good Forecasts Must Account for a Slowly Varying Local Mean; 2.7.3 The Nowcast

2.7.4 Heavy Shrinkage in the Use of Information Improves Inflation Forecasts2.8 Inflation Forecasts and the Financial Crisis; 2.9 How Different are the Better Model Forecasts?; 2.10 A Comment on the DSGE Model Forecasts; 2.11 The Phillips Curve; 2.12 Conditional Forecast Comparisons; 2.13 Time-Varying Predictability; 2.14 Alternative Measures of Forecast Quality; 3 Market-Based Measures of the Inflation Outlook; 3.1 New Inflation Derivatives; 4 Other Topics; 4.1 Density Forecasts; 4.2 Forecasting Aggregates or Disaggregates?; 4.3 Using Core Forecasts as Headline Forecasts

4.4 Alternative Inflation Measures5 International Inflation Forecasts; 6 Conclusions; Acknowledgments; References; 2 DSGE Model-Based Forecasting; 1 Introduction; 2 The DSGE Models; 2.1 The Smets-Wouters Model; 2.2 A Medium-Scale Model with Financial Frictions; 2.3 A Small-Scale DSGE Model; 3 Generating Forecasts with DSGE Models; 3.1 Posterior Inference for θ; 3.2 Evaluating the Predictive Distribution; 4 Accuracy of Point Forecasts; 4.1 A Real-Time Data Set for Forecast Evaluation; 4.2 Forecasts from the Small-Scale Model; 4.3 Forecasts from the Smets-Wouters Model

4.4 Literature Review of Forecasting Performance5 DSGE Model Forecasts Using External Information; 5.1 Incorporating Long-Run Inflation Expectations; 5.2 Incorporating Output Expectations; 5.3 Conditioning on External Nowcasts; 5.4 Incorporating Interest Rate Expectations; 6 Forecasts Conditional on Interest Rate Paths; 6.1 The Effects of Monetary Policy Shocks; 6.2 Using Unanticipated Shocks to Condition on Interest Rates; 6.3 Using Anticipated Shocks to Condition on Interest Rates; 6.4 Forecasting Conditional on an Interest Rate Path: An Empirical Illustration

7 Moving Beyond Point Forecasts7.1 Shock Decompositions; 7.2 Real-Time DSGE Density Forecasts During the Great Recession: A Post-Mortem; 7.3 Calibration of Density Forecasts; 8 Outlook; 8.1 Non-linear and Non-Gaussian Features in DSGE Models; 8.2 Beyond Forecasting with a Single DSGE Model; 8.3 Future Challenges; Appendix A. Details for Figure 2.5; Acknowledgments; References; 3 Forecasting Output; 1 Introduction; 1.1 Background; 1.2 A Brief History and Survey of Recent Literature; 1.3 Chapter Plan; 2 Forecasting Models; 2.1 Benchmark Univariate Linear AR Model; 2.2 Current Depth of Recession

2.3 Judgmental Forecast: Blue Chip Economic Indicators

section I. Macro forecastingsection II. Forecasting financial variables.

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