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Classical time-varying FAVAR models - Estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
expectations and long-term interest rates to a same-sized monetary policy shock has decreased since the early-1980s. …
Persistent link: https://www.econbiz.de/10008921778
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Classical time-varying FAVAR models - estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011
of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long …
Persistent link: https://www.econbiz.de/10009493746
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Point, interval and density forecasts of exchange rates with time-varying parameter models
Abbate, Angela; Marcellino, Massimiliano - 2016
an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …
Persistent link: https://www.econbiz.de/10011490150
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Classical time-varying FAVAR models - estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long …
Persistent link: https://www.econbiz.de/10010304433
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Have Standard VARs Remained Stable Since the Crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …
Persistent link: https://www.econbiz.de/10012143851
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Large vector autoregressions with stochastic volatility and flexible priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016
Persistent link: https://www.econbiz.de/10011549652
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Markov-switching mixed-frequency VAR models
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: International journal of forecasting 31 (2015) 3, pp. 692-711
Persistent link: https://www.econbiz.de/10011474529
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The global component of inflation volatility
Marcellino, Massimiliano; Carriero, Andrea; Corsello, … - 2019
Persistent link: https://www.econbiz.de/10012051863
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011389735
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Forecasting with a DSGE model of a small open economy within the Monetary Union
Marcellino, Massimiliano; Rychalovska, Yuliya - In: Journal of forecasting 33 (2014) 5, pp. 315-338
Persistent link: https://www.econbiz.de/10010425650