Arbeitspapier
Macroeconomic forecasting and structural change
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the na¨ıve random walk model. These results are also shown to hold over the most recent period in which it has been hard to forecast inflation.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1167
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Thema
-
forecasting
inflation
stochastic volatility
Time Varying Vector Autoregression
Volkswirtschaft
Strukturwandel
Wirtschaftsprognose
Inflationsrate
Arbeitslosigkeit
Zins
Volatilität
VAR-Modell
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gambetti, Luca
D’Agostino, Antonello
Giannone, Domenico
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gambetti, Luca
- D’Agostino, Antonello
- Giannone, Domenico
- European Central Bank (ECB)
Entstanden
- 2010
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