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Beware of large shocks!: A non-parametric structural inflation model
Bobeica, Elena; Holton, Sarah; Huber, Florian; … - 2025
magnitude restrictions within the factor model. Applying our method to euro area energy shocks, we find that inflation reacts …
Persistent link: https://www.econbiz.de/10015432225
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Granger-Causal-Priority and Choice of Variables in Vector Autoregressions
Jarocinski, Marek - 2013
A researcher is interested in a set of variables that he wants to model with a vector auto-regression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in...
Persistent link: https://www.econbiz.de/10013074480
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Much ado about nothing? The shale oil revolution and the global supply curve
Foroni, Claudia; Stracca, Livio - 2019
We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la Stackelberg. We find that the supply...
Persistent link: https://www.econbiz.de/10012142153
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Global financial markets and oil price shocks in real time
Venditti, Fabrizio; Veronese, Giovanni - 2020
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...
Persistent link: https://www.econbiz.de/10012422134
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Global Financial Markets and Oil Price Shocks in Real Time
Venditti, Fabrizio; Veronese, Giovanni - 2021
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...
Persistent link: https://www.econbiz.de/10013315299
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Much Ado About Nothing? The Shale Oil Revolution and the Global Supply Curve
Foroni, Claudia; Stracca, Livio - 2021
We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing à la Stackelberg. We find that the supply...
Persistent link: https://www.econbiz.de/10013315351
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Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds … extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We … forecasts and the period around the Great Recession. The labor market extension improves the medium to longer-term real GDP …
Persistent link: https://www.econbiz.de/10011853328
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The role of comovement and time-varying dynamics in forecasting commodity prices
Allayioti, Anastasia; Venditti, Fabrizio - 2024
changing energy intensity in production and consumption as well as changing composition of underlying shocks. This paper …
Persistent link: https://www.econbiz.de/10014543637
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Density forecast combinations: The real-time dimension
McAdam, Peter; Warne, Anders - 2020
Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...
Persistent link: https://www.econbiz.de/10012422040
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DSGE model forecasting: Rational expectations vs. adaptive learning
Warne, Anders - 2023
the forecast exercise and for the full sample. However, the rational expectations model typically predicts real GDP growth …
Persistent link: https://www.econbiz.de/10014374419