Forecast models with large cross-sections are often subject to overparameterization leading to unstable parameter estimates and hence inaccurate forecasts. Recent articles suggest that a large Bayesian vector autoregression (BVAR) with sufficient prior information dominates competing approaches....

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...

The papers in the present SUERF Study is a selection of the papers presented at a SUERF Workshop and Special OeNB East Jour Fixe held at Oesterreichische Nationalbank in Vienna on 23 January 2009. In his opening remarks (chapter 2), Ewald Nowotny, Governor of the Oesterreichische Nationalbank...

In this paper we examine if Slovak retail gasoline and diesel prices respond more quickly when crude oil price rises rather than when it decreases. The error correction model with irreversible behaviour of explanatory variables is considered to be basic tool for the analysis of asymmetric retail...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...

This study analyzes the performance of the IMF World Economic Outlook forecasts for world output and the aggregates of both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current and the next year, we examine whether IMF forecasts can be...