This paper considers factor forecasting with national versus factor forecasting with international data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard...

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. To account for temporal instabilities in this relationship, this paper discusses an extension to MIDAS with time-varying parameters, which...

Im Rahmen moderner geldpolitischer Strategien spielt das Konzept des Produktionspotenzials eine wichtige Rolle. Es repräsentiert die nachhaltigen Produktionsmöglichkeiten einer Volkswirtschaft, die ohne Gefahren für die Preisstabilität realisiert werden können. Für eine empirische...

This paper estimates and forecasts trend output and output gaps for the Euro area. In the monetary strategy of the European Central Bank (ECB), trend output is used to forecast a reference value for money. For this purpose, trend output must be forecasted as well. In this paper, a...

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...