We describe the evolution of forecasts in the run-up to recessions. The GDP forecasts cover 63 countries for the years 1992 to 2014. The main finding is that, while forecasters are generally aware that recession years will be different from other years, they miss the magnitude of the recession...

In this paper, I apply univariate and vector autoregressive (VAR) models to forecast inflation in Vietnam. To investigate the forecasting performance of the models, two naive benchmark models (one is a variant of a random walk and the other is an autoregressive model) are first built based on...

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inflation can be improved by aggregating forecasts of...

We explore whether economic links via trade affect aggregate Chinese stock market returns. We find that market return indices from countries that China net imports from can forecast the Chinese aggregate market return at the weekly time horizon. The stock returns of countries that China net...

With the European economic integration, the understanding of inflation and inflationary pressures requires to analyse both the national level and the whole Euro area level. This is true in particular for the inflation forecasts that are carried out within the Eurosystem and published four times...

Much research has been concerned with forecast efficiency regressions. Recently, Patton and Timmermann (2012) proposed a more powerful kind of forecast efficiency regression at multiple horizons, which provides evidence against the efficiency of the Fed's Greenbook forecasts. I use their...

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable...

We propose a methodology to gauge the uncertainty in output gap nowcasts across a large number of commonly deployed vector autoregressions in US inflation and various measures of the output gap. Our approach constructs ensemble nowcast densities using a linear opinion pool. This yields...

The paper develops a model for forecasting inflation in France. As this model has to be integrated in the Eurosystem projection exercises, the projections are conditional to specific assumptions and must be consistent with the Macroeconomic projection exercise of the Banque de France. The...