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Classical time-varying FAVAR models - Estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

expectations and long-term interest rates to a same-sized monetary policy shock has decreased since the early-1980s. …

Persistent link: https://www.econbiz.de/10008921778

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013

This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...

Persistent link: https://www.econbiz.de/10011084707

Markov-switching MIDAS models

Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...

Persistent link: https://www.econbiz.de/10008854481

Bayesian VARs: Specification Choices and Forecast Accuracy

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …

Persistent link: https://www.econbiz.de/10008854551

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …

Persistent link: https://www.econbiz.de/10011083444

Forecasting Exchange Rates with a Large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Persistent link: https://www.econbiz.de/10005789104

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the …

Persistent link: https://www.econbiz.de/10008528528

Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …

Persistent link: https://www.econbiz.de/10008468530

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …

Persistent link: https://www.econbiz.de/10008468646