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Forecast Performance in the ECB SPF : Ability or Chance?

Meyler, Aidan - 2020

In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … horizons, the aggregate (consensus) SPF forecast performs best …

Persistent link: https://www.econbiz.de/10012842351

Professional Forecasters and the Real-time Forecasting Performance of an Estimated New Keynesian Model for the Euro Area

Smets, Frank - 2013

This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets, and Wouters (2012) estimated on euro area data. It investigates to what extent forecasts of inflation, GDP growth and unemployment by professional forecasters improve the forecasting...

Persistent link: https://www.econbiz.de/10013078530

Combining the Forecasts in the ECB Survey of Professional Forecasters : Can Anything Beat the Simple Average?

Genre, Véronique; Kenny, Geoff; Meyler, Aidan; … - 2021

unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast …

Persistent link: https://www.econbiz.de/10013316124

Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance

Manescu, Cristiana - 2015

This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes … propose a forecast combination approach to predict quarterly real Brent oil prices. A four-model combination (consisting of … than the futures and the random walk up to 11 quarters ahead, on average, and generates a forecast whose performance is …

Persistent link: https://www.econbiz.de/10013032606

Interest Rate Effects of Demographic Changes in a New-Keynesian Life-Cycle Framework

Kara, Engin - 2010

This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. We extend the tractable, though non-monetary overlapping-generations model of Gertler (1999) and present a small synthesis model which combines the set-up of Gertler with a...

Persistent link: https://www.econbiz.de/10013135617

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

Banbura, Marta - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10013047977

Learning About Fiscal Multipliers During the European Sovereign Debt Crisis : Evidence from a Quasi-Natural Experiment

Górnicka, Lucyna - 2018

) provide both a baseline no-policy-change scenario and a fiscal-adjustment EDP scenario that entails a forecast of the …

Persistent link: https://www.econbiz.de/10012917733

Central Bank Macroeconomic Forecasting During the Global Financial Crisis : The European Central Bank and Federal Reserve Bank of New York Experiences

Alessi, Lucia - 2014

analysis does not exclusively focuses on point forecast performance. It also examines methodological contributions, including …

Persistent link: https://www.econbiz.de/10013053416

Medium-Term Growth-at-Risk in the Euro Area

Lang, Jan Hannes; Rusnák, Marek; Greiwe, Moritz - 2023

Financial stability indicators can be grouped into financial stress indicators that reflect heightened spreads and market volatility, and financial vulnerability indicators that reflect credit and asset price imbalances. Based on a panel of euro area countries, we show that both types of...

Persistent link: https://www.econbiz.de/10014355261

Estimating Phillips Curves in Turbulent Times Using the ECB's Survey of Professional Forecasters

Koop, Gary - 2012

This paper uses forecasts from the European Central Bank's Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our...

Persistent link: https://www.econbiz.de/10013111479