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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

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

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

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

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

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

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

Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test

Kolasa, Marcin - 2009

Persistent link: https://www.econbiz.de/10013155104

Quantifying Financial Stability Trade-Offs for Monetary Policy : A Quantile VAR Approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

Persistent link: https://www.econbiz.de/10014352841

Trusting the Bankers : A New Look at the Credit Channel of Monetary Policy

Ciccarelli, Matteo - 2010

Any empirical analysis of the credit channel faces a key identification challenge: changes in credit supply and demand are difficult to disentangle. To address this issue, we use the detailed answers from the US and the confidential and unique Euro area bank lending surveys. Embedding this...

Persistent link: https://www.econbiz.de/10013141032