Obgleich es zahlreiche Institutionen gibt, die das deutsche Bruttoinlandsprodukt vorhersagen, mangelt es aktuell an sogenannten "Nowcasting"-Modellen, deren Prognosegüte mit jedem neu verfügbaren, das deutsche Bruttoinlandsprodukt beeinflussenden Datenpunkt verbessert wird. In der folgenden...

Russian Abstract: Оценка моделей с изменяющимися во времени параметрами нашла широкое распространение в макроэкономических исследованиях, реализуемых в течение...

Since its introduction by Chari et al. (2007), Business Cycle Accounting (BCA) exercises have become widespread. Much attention has been devoted to the results of such exercises and to methodological departures from the baseline methodology. Little attention has been paid to identification...

We propose the adaptive elastic net for estimating Vector Autoregressions. Unlike competing methods, this estimator preserves the standard structural-VAR toolkit but at the same time leads to accurate forecasts. We show validity of the bootstrap in constructing unconditional-on-model-selection...

We introduce machine learning in the context of central banking and policy analyses. Our aim is to give an overview broad enough to allow the reader to place machine learning within the wider range of statistical modelling and computational analyses, and provide an idea of its scope and...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

There are many types of econometric models used in predicting the inflation rate, but in this study we used a Bayesian shrinkage combination approach. This methodology is used in order to improve the predictions accuracy by including information that is not captured by the econometric models....

We develop a portfolio risk model that uses high-frequency data to forecast the loss surface, which is the set of loss distributions at future time horizons. Our model uses a fully automated, semi-parametric fitting procedure that has its basis in extreme value statistics. We take account of...

This paper reviews the genesis and early development of macro-modelling for the IMF's World Economic Outlook from the report's inception up to the early 1990s. Models covered include the Multilateral Exchange Rate Model, World Trade Model, Minimod, Multimod Marks 1 and 2, the Disaggregated...

Over the past two decades, U.S. core PCE goods and services inflation have evolved differently. Against the backdrop of global concerns of low inflation, we use this trend as motivation to develop a bottom-up model of U.S. inflation. We find that domestic forces play a larger role relative to...