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Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

-time forecasts from a richly-specified DSGE model to those from the Survey of Professional Forecasters, Bayesian VARs and VARs using … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … BVARs and DSGE-VARs. Compared to the SPF, the DSGE model generates better output forecasts at longer horizons, but less …

Persistent link: https://www.econbiz.de/10011605156

Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity

Busetti, Fabio; Delle Monache, Davide; Gerali, Andrea; … - 2017

learning, choosing among a set of alternative forecasting models. The analysis is accompanied by empirical evidence on the …

Persistent link: https://www.econbiz.de/10011606039

The information in systemic risk rankings

Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2016

We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...

Persistent link: https://www.econbiz.de/10011605920

Bank networks from text: interrelations, centrality and determinants

Rönnqvist, Samuel; Sarlin, Peter - 2016

In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank...

Persistent link: https://www.econbiz.de/10011605921

Monetary policy and the drifting natural rate of interest

Daudignon, Sandra; Tristani, Oreste - 2023

Empirical analyses starting from Laubach and Williams (2003) find that the natural rate of interest is not constant in the long-run. This paper studies the optimal response to stochastic changes of the long-run natural rate in a suitably modified version of the new Keynesian model. We show that,...

Persistent link: https://www.econbiz.de/10014374476

Optimal monetary policy under commitment with a zero bound on nominal interest rates

Adam, Klaus; Billi, Roberto M. - 2004

We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S....

Persistent link: https://www.econbiz.de/10011604423

Monetary policy according to HANK

Kaplan, Greg; Moll, Benjamin; Violante, Giovanni L. - 2016

We revisit the transmission mechanism of monetary policy for household consumption in a Heterogeneous Agent New Keynesian (HANK) model. The model yields empirically realistic distributions of household wealth and marginal propensities to consume because of two key features: multiple assets with...

Persistent link: https://www.econbiz.de/10011605944

Mixed frequency models with MA components

Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018

Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...

Persistent link: https://www.econbiz.de/10012142050

Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections

Angelini, Elena; Lalik, Magdalena; Lenza, Michele; … - 2019

The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of...

Persistent link: https://www.econbiz.de/10012142071

Forecasting daily electricity prices with monthly macroeconomic variables

Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019

We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse...

Persistent link: https://www.econbiz.de/10012142094