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Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - C.E.P.R. Discussion Papers - 2009

therefore adopt the FAVAR methodology of Bernanke, Boivin, and Eliasz [2005], aggregating a large number of time series into a … systematic policy through conditional forecasts of key time series at critical junctures, taken with and without the policy …

Persistent link: https://www.econbiz.de/10008558583

Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2002

Forecasting models for output are presented to throw light on monetary transmission. Recent research finds multistep forecasting superior to recursive forecasting from a VAR model when structural breaks are present; there are important political and policy regime breaks in South Africa. The...

Persistent link: https://www.econbiz.de/10005067408

New methods for forecasting inflation, applied to the US.

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

Models for the twelve-month-ahead US rate of inflation, measured by the chain weighted consumer expenditure deflator, are estimated for 1974-99 and subsequent pseudo out-of-sample forecasting performance is examined. Alternative forecasting approaches for different information sets are compared...

Persistent link: https://www.econbiz.de/10008468684

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

Pettenuzzo, Davide; Timmermann, Allan G; Valkanov, Rossen - C.E.P.R. Discussion Papers - 2014

We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome and develop Gibbs sampling methods for Bayesian estimation in the presence of stochastic volatility dynamics. When applied to quarterly U.S. GDP growth data,...

Persistent link: https://www.econbiz.de/10011083475

Macroeconomic forecasting during the Great Recession: The return of non-linearity?

Ferrara, Laurent; Marcellino, Massimiliano; Mogliani, Matteo - C.E.P.R. Discussion Papers - 2013

the degree of non-linearity of the stochastic processes underlying the main macroeconomic time series. …

Persistent link: https://www.econbiz.de/10011084637

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

financial indicators, such as stock prices and interest rates. In light of existing evidence of time variation in the variances … evaluate models with either constant or time-varying regression coefficients. We use Bayesian methods to estimate the model, in … densities. We provide results on the accuracy of nowcasts of real-time GDP growth in the U.S. from 1985 through 2011. In terms …

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

(Un)Predictability and Macroeconomic Stability

D'Agostino, Antonello; Giannone, Domenico; Surico, Paolo - C.E.P.R. Discussion Papers - 2007

The ability of popular statistical methods, the Federal Reserve Greenbook and the Survey of Professional Forecasters to improve upon the forecasts of inflation and real activity from naive models has declined significantly during the most recent period of greater macroeconomic stability. The...

Persistent link: https://www.econbiz.de/10005067416

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

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

Favero, Carlo A.; Gozluklu, Arie; Tamoni, Andrea - C.E.P.R. Discussion Papers - 2010

This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...

Persistent link: https://www.econbiz.de/10008468657

The role of central bank transparency for guiding private sector forecasts

Ehrmann, Michael; Eijffinger, Sylvester C W; … - C.E.P.R. Discussion Papers - 2009

There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically...

Persistent link: https://www.econbiz.de/10008458290