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Putting the New Keynesian DSGE model to the real-time forecasting test
Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009
. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …
Persistent link: https://www.econbiz.de/10011605156
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Exploring the international linkages of the euro area: a global VAR analysis
Dées, Stéphane; di Mauro, Filippo; Pesaran, Hashem; … - 2005
This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...
Persistent link: https://www.econbiz.de/10011604614
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Identification of new Keynesian Phillips Curves from a global perspective.
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2008
New Keynesian Phillips Curves (NKPC) have been exten-sively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macro-economic theory. The first is whether such equations are identified. To check...
Persistent link: https://www.econbiz.de/10011604938
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Forecasting and Stress Testing with Quantile Vector Autoregression
Chavleishvili, Sulkhan - 2019
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...
Persistent link: https://www.econbiz.de/10012859199
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Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis
Canales-Kriljenko, Jorge Iván - 2015
Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized impulse responses from a GVAR exercise demonstrate how the CBOE volatility index (VIX) and credit...
Persistent link: https://www.econbiz.de/10013028664
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The U.S. Oil Supply Revolution and the Global Economy
Mohaddes, Kamiar - 2016
This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...
Persistent link: https://www.econbiz.de/10012998782
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Using the Global Dimension to Identify Shocks with Sign Restrictions
Chudik, Alexander - 2011
Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...
Persistent link: https://www.econbiz.de/10013128288
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Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR
Gross, Marco - 2013
solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and …
Persistent link: https://www.econbiz.de/10013078534
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Regime-Switching Global Vector Autoregressive Models
Binder, Michael - 2013
The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...
Persistent link: https://www.econbiz.de/10013078535
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Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test
Kolasa, Marcin - 2009
. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …
Persistent link: https://www.econbiz.de/10013155104