of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long …

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … Likelihood of the model. Focusing on the US, we provide an extensive study on the forecasting performance of the proposed model …

determination of the optimal decomposition level and a wavelet-based forecasting approach. Overall, there is no indication of a …

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example …, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting … precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets. …

period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …