Showing 1 - 10 of 163
We explore the use of univariate low-frequency filters in macroeconomic forecasting. This amounts to targeting only specific fluctuations of the time series of interest. We show through simulations that such approach is warranted and, using US data, we confirm empirically that consistent gains...
Persistent link: https://www.econbiz.de/10011162085
We explore the use of nowcasts from the Philadelphia Survey of Professional Forecasters as a starting point for macroeconomic forecasting. Specifically, survey nowcasts are treated as anadditional observation of the time series of interest. This simple approach delivers enhanced model...
Persistent link: https://www.econbiz.de/10011228161
We investigate the reaction of output to government spending shocks at the zero lower bound (ZLB) on the nominal interest rate when government and private consumption are non-separable in preferences. In particular, substitutability between private and government consumption significantly...
Persistent link: https://www.econbiz.de/10010833992
We take to the data an RBC model with two salient features. First, we allow government consumption to directly affect the marginal utility of consumption. Second, we allow public capital to affect the productivity of private factors. On the one hand, private and government consumption are...
Persistent link: https://www.econbiz.de/10010552210
We show how monetary aggregates can be usefully incorporated in forecasts of inflation. This requires fully disregarding the high-frequency fluctuations blurring the money/inflation relation, i.e., the projection of inflation onto monetary aggregates must be restricted to the low frequencies....
Persistent link: https://www.econbiz.de/10008691865
We compare theoretical and empirical forecasts computed by rational agents living in a model economy to those produced by professional forecasters. We focus on the variance of the prediction errors as a function of the forecast horizon and analyze the speed with which it converges to a constant...
Persistent link: https://www.econbiz.de/10009018520
Persistent link: https://www.econbiz.de/10010833979
This paper investigates business cycle relations among different economies in the Euro area. Cyclical dynamics are explicitly modelled as part of a time series model. We introduce mechanisms that allow for increasing or diminishing phase shifts and for time-varying association patterns in...
Persistent link: https://www.econbiz.de/10005682342
Persistent link: https://www.econbiz.de/10009207331
Persistent link: https://www.econbiz.de/10009215945