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Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters

Inoue, Atsushi; Jin, Lu; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … applied to forecasting US real output growth and inflation, the proposed method tends to improve upon conventional methods. …

Persistent link: https://www.econbiz.de/10011083425

Convergence in Output in Transition Economies: Central and Eastern Europe, 1970-1995

Estrin, Saul; Urga, Giovanni - C.E.P.R. Discussion Papers - 1997

In this paper we use unit roots/cointegration analysis and time-varying parameters procedures to test for a common growth path in the ex-communist block, both pre- and post-reform. We test whether there has been convergence within the block and between the block as a group and the West....

Persistent link: https://www.econbiz.de/10005123521

Illusive Persistence in German Unemployment

Tschernig, Rolf J.V.; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1992

The non-stationarity of many macroeconomic time series has lead to an increased demand for economic models that are able to generate fragile equilibria. For instance, in this literature the natural unemployment rate is allowed to shift over time depending on past unemployment. Actually, many...

Persistent link: https://www.econbiz.de/10005666959

On the Selection of Forecasting Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10005504404

UK Phillips Curves and Monetary Policy

Haldane, Andrew; Quah, Danny - C.E.P.R. Discussion Papers - 1999

unemployment-inflation tradeoff might indicate not something to be exploited but instead only policy-makers' correctly …

Persistent link: https://www.econbiz.de/10005067633

Interpreting Euro Area Inflation at High and Low Frequencies

Assenmacher-Wesche, Katrin; Gerlach, Stefan - C.E.P.R. Discussion Papers - 2006

inflation at different time horizons or frequency bands. The ECB has publicly supported this understanding of the framework …. This paper presents further evidence on the behaviour of euro area inflation using band spectrum regressions, which allow … frequency domain. The main finding is that variations in inflation are well explained by low-frequency movements of money and …

Persistent link: https://www.econbiz.de/10005661493

Granger Causality of the Inflation-Growth Mirror in Accession Countries

Gillman, Max; Nakov, Anton - C.E.P.R. Discussion Papers - 2005

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output … growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human … the income velocity of money that can break the otherwise stable relation between money, inflation, and output growth …

Persistent link: https://www.econbiz.de/10005791637

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

Kilian, Lutz; Manganelli, Simone - C.E.P.R. Discussion Papers - 2003

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation …

Persistent link: https://www.econbiz.de/10005123620

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001

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

Persistent link: https://www.econbiz.de/10005504253

Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective

Canova, Fabio; de Nicolò, Gianni - C.E.P.R. Discussion Papers - 1997

This paper analyses the empirical interdependence of asset returns, real activity and inflation from a multicountry and … international point of view. We find that nominal stock returns are significantly related to inflation only in the United States …, that the US term structure of interest rates predicts both domestic and foreign inflation rates while foreign term …

Persistent link: https://www.econbiz.de/10005504379