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Modelling and Forecasting UK Mortgage Arrears and Possessions

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

long-run relationship between possessions and arrears assumed in the previous UK literature. A range of economic forecast …

Persistent link: https://www.econbiz.de/10008611018

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014

We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispecification of an underlying Gaussian Affine Term Structure Model (GATSM) and (ii) the time varying volatility of interest rates. For this, we derive a Bayesian...

Persistent link: https://www.econbiz.de/10011083412

Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?

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

study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by …

Persistent link: https://www.econbiz.de/10008553067

Predicting recoveries and the importance of using enough information

Cai, Xiaoming; Den Haan, Wouter - C.E.P.R. Discussion Papers - 2009

-type-shock" models to correctly forecast the recovery from past economic downturns. It is shown that these models often overestimate the …

Persistent link: https://www.econbiz.de/10008477182

Austerity in 2009-2013

Alesina, Alberto F; Barbiero, Omar; Favero, Carlo A.; … - C.E.P.R. Discussion Papers - 2015

The conventional wisdom is (i) that fiscal austerity was the main culprit for the recessions experienced by many countries, especially in Europe, since 2010 and (ii) that this round of fiscal consolidation was much more costly than past ones. The contribution of this paper is a clarification of...

Persistent link: https://www.econbiz.de/10011145403

Factor Forecasts for the UK

Artis, Michael J; Banerjee, Anindya; Marcellino, … - C.E.P.R. Discussion Papers - 2002

Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only univariate or small-scale multivariate models are considered. Yet, data...

Persistent link: https://www.econbiz.de/10005661430

Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration

Tol, Michel R van; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005

In this paper we develop a multivariate threshold vector error correction model of spot and forward exchange rates that allows for different forms of equilibrium reversion in each of the cointegrating residual series. By introducing the notion of an indicator matrix to differentiate between the...

Persistent link: https://www.econbiz.de/10005666602

Real Time Econometrics

Pesaran, M Hashem; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10005791710

Forecast Combination and Model Averaging Using Predictive Measures

Eklund, Jana; Karlsson, Sune - C.E.P.R. Discussion Papers - 2005

We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast … greater protection against in-sample overfitting and improves forecast performance. For the predictive likelihood we show … analytically that the forecast weights have good large and small sample properties. This is confirmed in a simulation study and an …

Persistent link: https://www.econbiz.de/10005792336

Forecasting Economic Aggregates by Disaggregates

Hendry, David F; Hubrich, Kirstin - C.E.P.R. Discussion Papers - 2006

components improves forecast accuracy of the aggregate forecast of euro area and US inflation in some situations, but not in …

Persistent link: https://www.econbiz.de/10005123796