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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - Center for Financial Studies - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010986379
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Learning to Forecast and Cyclical Behavior of Output and Inflation
Adam, Klaus - Center for Financial Studies - 2003
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with the help of econometric models. Agents use least squares learning to estimate two competing models of which one is consistent with rational expectations once learning is...
Persistent link: https://www.econbiz.de/10010958541
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The role of oil price shocks in causing U.S. recessions
Kilian, Lutz; Vigfusson, Robert J. - Center for Financial Studies - 2014
Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the...
Persistent link: https://www.econbiz.de/10010958574
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The diversity of forecasts from macroeconomic models of the U.S. economy
Wieland, Volker; Wolters, Maik H. - Center for Financial Studies - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10010958731
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The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy
Wieland, Volker; Wolters, Maik - Center for Financial Studies - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10008504547
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Learning to Forecast and Cyclical Behavior of Output and Inflation
Adam, Klaus - Center for Financial Studies - 2003
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with the help of econometric models. Agents use least squares learning to estimate two competing models of which one is consistent with rational expectations once learning is...
Persistent link: https://www.econbiz.de/10005138849
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Monetary policy, indeterminacy and learning
Evans, George W.; McGough, Bruce - Center for Financial Studies - 2003
The development of tractable forward looking models of monetary policy has lead to an explosion of research on the implications of adopting Taylor-type interest rate rules. Indeterminacies have been found to arise for some specifications of the interest rate rule, raising the possibility of...
Persistent link: https://www.econbiz.de/10010986495
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Monetary Policy, Indeterminacy and Learning
Evans, George W.; McGough, Bruce - Center for Financial Studies - 2003
The development of tractable forward looking models of monetary policy has lead to an explosion of research on the implications of adopting Taylor-type interest rate rules. Indeterminacies have been found to arise for some specifications of the interest rate rule, raising the possibility of...
Persistent link: https://www.econbiz.de/10005120769
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Long-run growth expectations and "global imbalances"
Hoffmann, Mathias; Krause, Michael U.; Laubach, Thomas - Center for Financial Studies - 2011
This paper examines to what extent the build-up of global imbalances since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth are based on filtering observed changes in productivity. We show that long-run growth estimates based...
Persistent link: https://www.econbiz.de/10010958650
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Risks to price stability, the zero lower bound and forward guidance: A real-time assessment
Coenen, Günter; Warne, Anders - Center for Financial Studies - 2013
price stability in the euro area during the recent financial crisis. Using a formal measure of the balance of risks, which … is derived from policy-makers' preferences about inflation outcomes, we first show that downside risks to price stability … to keep interest rates low for longer can be successful in mitigating downside risks to price stability. However, we find …
Persistent link: https://www.econbiz.de/10010986359