This paper assesses if a Bayesian VAR with a Dornbusch prior outperforms the random walk model in predicting real exchange rates. Our main contributions are twofold. First, from a methodological point of view we apply an innovative framework to estimate structural Bayesian VAR models. Second, we...

This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. The empirical...

In this paper we investigate whether the reaction function of the National Bank of Poland (NBP) is asymmetric according to the level of inflation gap and the level of output gap. Moreover, we test whether these asymmetries might possibly stem from nonlinearities in the Phillips curve. Threshold...