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.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1167
- Classification
-
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
- Subject
-
forecasting
inflation
stochastic volatility
Time Varying Vector Autoregression
Volkswirtschaft
Strukturwandel
Wirtschaftsprognose
Inflationsrate
Arbeitslosigkeit
Zins
Volatilität
VAR-Modell
USA
- Event
-
Geistige Schöpfung
- (who)
-
Gambetti, Luca
D’Agostino, Antonello
Giannone, Domenico
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gambetti, Luca
- D’Agostino, Antonello
- Giannone, Domenico
- European Central Bank (ECB)
Time of origin
- 2010
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