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Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - Norges Bank - 2009

We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model specifications (e.g., initial conditions, parameters, and boundary...

Persistent link: https://www.econbiz.de/10004976646

Combined Density Nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Norges Bank - 2014

mechanisms. The combined density scheme is incorporated in a Bayesian Sequential Monte Carlo method which re-balances the set of …

Persistent link: https://www.econbiz.de/10011124200

Identification of financial factors in economic fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad - Norges Bank - 2014

We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock prices and investment but have a limited effect on inflation. In a second...

Persistent link: https://www.econbiz.de/10010800723

Forecast densities for economic aggregates from disaggregate ensembles

Ravazzolo, Francesco; Vahey, Shaun P. - Norges Bank - 2010

We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

Persistent link: https://www.econbiz.de/10008516805

Term structure forecasting using macro factors and forecast combination

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - Norges Bank - 2010

We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our...

Persistent link: https://www.econbiz.de/10008464563

Labor Supply Factors and Economic Fluctuations

Foroni, Claudia; Furlanetto, Francesco; Lepetit, Antoine - Norges Bank - 2015

We propose a new VAR identfication scheme that enables us to disentangle labor supply shocks from wage bargaining shocks. Identification is achieved by imposing robust signrestrictions that are derived from a New Keynesian model with endogenous labor force participation. According to our...

Persistent link: https://www.econbiz.de/10011277156

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - Norges Bank - 2012

and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive and Bayesian …, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of …

Persistent link: https://www.econbiz.de/10010787777

RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence

Karagedikli, Özer; Matheson, Troy; Smith, Christie; … - Norges Bank - 2008

Real Business Cycle (RBC) and Dynamic Stochastic General Equilibrium (DSGE) methods have become essential components of the macroeconomist’s toolkit. This literature review stresses recently developed techniques for computation and inference, providing a supplement to the Romer (2006)...

Persistent link: https://www.econbiz.de/10005481440

Optimal portfolio choice under decision-based model combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - Norges Bank - 2014

We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting … relative to a host of existing combination schemes. We find that our method produces markedly more accurate predictions than … the existing model combinations, both in terms of statistical and economic measures of out-of-sample predictability. We …

Persistent link: https://www.econbiz.de/10011162487

Forecasting GDP with global components. This time is different

Bjørnland, Hilde C.; Ravazzolo, Francesco; Thorsrud, … - Norges Bank - 2015

A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. We examine whether knowledge of in-sample co-movement across countries could...

Persistent link: https://www.econbiz.de/10011208180