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Adams, Patrick A. - 2020

We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are … unemployment risk, and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and … unemployment are positively correlated, with tighter financial conditions corresponding to higher forecasted unemployment and …

Persistent link: https://www.econbiz.de/10012841168

Priors for the long run

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2016

Persistent link: https://www.econbiz.de/10011502293

Now-casting and the real-time data flow

Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013

Persistent link: https://www.econbiz.de/10011507018

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - In: International journal of forecasting 31 (2015) 3, pp. 739-756

Persistent link: https://www.econbiz.de/10011474544

Exploiting the monthly data flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015

This paper develops a framework that allows us to combine the tools provided by structural models for economic interpretation and policy analysis with those of reduced-form models designed for nowcasting. We show how to map a quarterly dynamic stochastic general equilibrium (DSGE) model into a...

Persistent link: https://www.econbiz.de/10011399325

Prior selection for vector autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - In: The review of economics and statistics 97 (2015) 2, pp. 436-451

Persistent link: https://www.econbiz.de/10011333148

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010441087

Economic predictions with big data : the illusion of sparsity

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

We compare sparse and dense representations of predictive models in macroeconomics, microeconomics, and finance. To deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage. The posterior distribution does not typically concentrate...

Persistent link: https://www.econbiz.de/10011824834

Changing risk-return profiles

Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean - 2018

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

Persistent link: https://www.econbiz.de/10011868395

Nowcasting

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2010

Persistent link: https://www.econbiz.de/10003994026