We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...

Over the past 15 years, the forecasting procedures and techniques used for the Eurosystem/ECB staff macroeconomic projections have been subject to many changes and improvements, all aimed at contributing to the monetary policy decision-making process. The projections, conditioned on a set of...

In the ECB Survey of Professional Forecasters (SPF) for the second quarter of 2023, expectations for headline HICP inflation in 2023 were revised down compared with the previous survey (conducted in the first quarter), while expectations for HICP inflation excluding food and energy (HICPX) in...

To mark the 25th anniversary of the ECB Survey of Professional Forecasters (SPF), a special survey was conducted in 2023 to explore the processes and methodologies underlying participants' forecasts. Participants were sent this fourth special survey on SPF forecast processes and methodologies in...

To mark the 25th anniversary of the ECB Survey of Professional Forecasters (SPF), a special survey was conducted in 2023 to explore the processes and methodologies underlying participants' forecasts. Participants were sent this fourth special survey on SPF forecast processes and methodologies in...

This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes over time. We find considerable instability in the performance of all models evaluated and argue that relying on average forecasting statistics might hide important information on...

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

Motivated by the linkage between credit and growth in the Greek economy, and the deceleration of credit since the financial crisis, this paper studies the evolution of credit demand and supply in Greece. A disequilibrium model of demand and supply is estimated spanning the period 2003M1-2011M3....

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...