Gandolfo et al. [Journal of Banking and Finance 14 (1990) 965-992] have shown that their continuous time model of the Italian economy produces better ex post out-of-sample forecasts of the exchange rate than either existing structural or random-walk models. When the Michigan Quarterly...

The purpose of this paper is to evaluate the accuracy of ex ante econometric model forecasts of four key macroeconomic variables: real GNP growth, the rate of price inflation measured by the GNP deflator, the civilian unemployment rate, and the Treasury Bill rate. Annual forecasts produced by...

This paper examines monetary policy from an optimal control perspective. Three loss functions are minimized for each of three models, and the results are compared. The three loss functions target nominal growth, real growth, and inflation, respectively. The three models are a small structural...