Members Research Papers

How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation

JEL codes: 
C22, C52, C53
Version Date: 
Sep 2005
Author/s: 
Abstract: 

This paper explores the usefulness of bagging methods in forecasting economic time series from linear multiple regression models. We focus on the widely studied question of whether the inclusion of indicators of real economic activity lowers the prediction mean-squared error of forecast models of US consumer price inflation.

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Real-Time Model Uncertainty in the United States: the Fed from 1996-2003

JEL codes: 
C50, C60, E37, E50
Version Date: 
Sep 2005
Abstract: 

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model’s inception in July 1996 until November 2003.

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Forecast Combination and Model Averaging Using Predictive Measures

JEL codes: 
C11, C51, C52, C53
Version Date: 
Sep 2005
Author/s: 
Abstract: 

We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers greater protection against in-sample overfitting and improves forecast performance.

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Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

JEL codes: 
C33, C53, E52
Version Date: 
Jul 2005
Abstract: 

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving conditioning information set.

Business Cycle Sychronization in the Enlarged EU

JEL codes: 
E32, F41
Version Date: 
Jul 2005
Abstract: 

This paper analyses the synchronization of business cycles between new and old EU members using various measures. The main findings are that Hungary, Poland and Slovenia have achieved a high degree of synchronization for GDP, industry and exports, but not for consumption and services. The other CEECs have achieved less or no synchronization.

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Inflation Scares and Forecast-Based Monetary Policy

JEL codes: 
E52
Version Date: 
Dec 2004
Author/s: 
Abstract: 

Central bankers frequently emphasize the critical importance of anchoring private inflation expectations for successful monetary policy and macroeconomic stabilization. In most monetary policy models, however, expectations are already anchored through the assumption of rational expectations and perfect knowledge of the economy.

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Granger Causality of the Inflation-Growth Mirror in Accession Countries

JEL codes: 
C22, E31, O42
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate decrease.

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Economic Fluctuations in Central and Eastern Europe: The Facts

JEL codes: 
E32
Version Date: 
Dec 2004
Author/s: 
Abstract: 

We carry out a detailed analysis of quarterly frequency dynamics in macroeconomic aggregates in twelve countries of Central and Eastern Europe. The facts we document include the variability and persistence in and the co-movement among output, and other major real and nominal variables. We find that consumption is highly volatile and government spending is procyclical.

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Macroeconomic Asymmetry in the European Union: The Difference Between New and Old Members

Version Date: 
Dec 2004
Author/s: 
Abstract: 

We study the degree of output and consumption asymmetry for the ten new and fifteen original European Union members during the period 1994–2001. We establish basic stylized facts about macroeconomic asymmetry from correlations of GDP and consumption growth rates with corresponding aggregates.

On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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