Showing 1 - 10 of 27
This paper proposes a new and robust methodology to obtain conditional density forecasts, based on information not contained in an initial econometric model. The methodology allows to condition on expected marginal densities for a selection of variables in the model, rather than just on future...
Persistent link: https://www.econbiz.de/10014237994
Given the increased importance of fiscal monitoring, this study amends the existing literature in the field of intra-annual fi scal data in two main dimensions. First, we use quarterly fi scal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis...
Persistent link: https://www.econbiz.de/10013082111
Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...
Persistent link: https://www.econbiz.de/10014353294
Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...
Persistent link: https://www.econbiz.de/10014343110
This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of optimal pooling and tilting techniques, including...
Persistent link: https://www.econbiz.de/10013229967
Persistent link: https://www.econbiz.de/10009766415
Persistent link: https://www.econbiz.de/10011349824
The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of...
Persistent link: https://www.econbiz.de/10011975386
Persistent link: https://www.econbiz.de/10011792157
Should rational agents take into consideration government policy announcements? A skilled agent (an econometrician) could set up a model to combine the following two pieces of information in order to anticipate the future course of fiscal policy in real-time: (i) the ex-ante path of policy as...
Persistent link: https://www.econbiz.de/10013018008