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Understanding the degree of measurement error in the estimates of the output gap available to policymakers in ‘real time’ is important both for the formulation of monetary policy and for the study of inflation behaviour. For the United Kingdom, no official output gap series was published for...
Persistent link: https://www.econbiz.de/10005067584
We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial...
Persistent link: https://www.econbiz.de/10005504505
We investigate the interdependence of fiscal policies, and in particular deficits, in the European Union using an empirical analysis based on real-time fiscal data. There are many potential reasons why fiscal policies could be interdependent, such as direct externalities due to cross-border...
Persistent link: https://www.econbiz.de/10005497943
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast …, including the question of whether financial market information helps forecast the real price of oil in physical markets. An … and statistically significant real-time improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by …
Persistent link: https://www.econbiz.de/10011083339
model forecast should become the benchmark for forecasting horse races. We compare the real-time forecasting accuracy of the … forecast benchmark when evaluating DSGE models. Indeed,low-dimensional unrestricted AR and VAR forecasts may forecast more …
Persistent link: https://www.econbiz.de/10011083411
forecasts, however, are obtained when allowing the forecast combinations to vary across forecast horizons. While the latter … no-change forecast and its directional accuracy as high as 73%. Our results are robust to alternative oil price measures … and apply to monthly as well as quarterly forecasts. We illustrate how forecast pooling may be used to produce real …
Persistent link: https://www.econbiz.de/10011083466
specifications involving product spreads and compare these models to the no-change forecast of the real price of oil. We show that …
Persistent link: https://www.econbiz.de/10011083532
combination weights, we compute optimal weights which minimize the mean square forecast error (MSFE) in the case of point …
Persistent link: https://www.econbiz.de/10011083557
benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that …
Persistent link: https://www.econbiz.de/10011083683
than analysts' consensus forecasts, reducing their forecast errors by 15% to 30% on average, depending on forecast horizon. …
Persistent link: https://www.econbiz.de/10011084355