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...

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, …rst, at ranking various forecasting methods in terms...

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...

In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...

This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and the United States. The results show that both market-based...

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: if Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

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...