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Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks

Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - Sveriges Riksbank - 2005

There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...

Persistent link: https://www.econbiz.de/10005649027

Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model

Adolfson, Malin; Lindé, Jesper; Villani, Mattias - Sveriges Riksbank - 2005

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … forecasting models such as vector autoregressions (VAR) and vector error correction models (VECM), estimated both by maximum …-dimensional summaries, e.g. the log determinant statistic, as measures of overall forecasting performance. …

Persistent link: https://www.econbiz.de/10005649034

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - Sveriges Riksbank - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10005649059

Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area

Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - Sveriges Riksbank - 2005

This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...

Persistent link: https://www.econbiz.de/10005649081

Forecasting Swedish Inflation With a Markov Switching VAR

Blix, Mårten - Sveriges Riksbank - 1999

level. This poses difficulty for forecasting inflation, since the 1970-92 period represents a sizable part of the available …

Persistent link: https://www.econbiz.de/10005423760

Growth, Savings, Financial Markets and Markov Switching Regimes

Jacobson, Tor; Lindh, Thomas; Warne, Anders - Sveriges Riksbank - 1998

Not available.

Persistent link: https://www.econbiz.de/10005190806

GARCH, Implied Volatilities and Implied Distributions: An Evaluation for Forecasting Purposes

Aguilar, Javiera - Sveriges Riksbank - 1999

historical by nature such as different GARCH models. I find that implied volatility has predictive power in forecasting future …

Persistent link: https://www.econbiz.de/10005649075

Using a New Open Economy Macroeconomics model to make real nominal exchange rate forecasts

Sellin, Peter - Sveriges Riksbank - 2007

theoretical model of the New Open Economy Macroeconomics type. The forecasting performance of our estimated vector error …

Persistent link: https://www.econbiz.de/10005649103

Evaluation of exchange rate forecasts for the krona’s nominal effective exchange rate

Degrér, Henrik; Hansen, Jan; Sellin, Peter - Sveriges Riksbank - 2001

In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular …

Persistent link: https://www.econbiz.de/10005190814

Bayesian Inference of General Linear Restrictions on the Cointegration Space

Villani, Mattias - Sveriges Riksbank - 2005

The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Villani (2000) and Strachan and van Dijk (2003) have recently proposed finite sample Bayesian procedures to calculate the posterior probability of...

Persistent link: https://www.econbiz.de/10005423740