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Tatevik Sekhposyan

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Òscar Jordà & Noah Kouchekinia & Colton Merrill & Tatevik Sekhposyan, 2020. "The Fog of Numbers," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2020(20), pages 1-5, July.

    Mentioned in:

    1. Revisions to employment data during 2020 and 2021 : Reassessing labor market conditions after the 2020 recession
      by ? in FRED blog on 2022-01-24 14:00:00

Working papers

  1. Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.

    Cited by:

    1. David I. Harvey & Stephen J. Leybourne & Yang Zu, 2024. "Tests for equal forecast accuracy under heteroskedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 850-869, August.
    2. Granziera, Eleonora & Jalasjoki, Pirkka & Paloviita, Maritta, 2024. "The bias of the ECB inflation projections: A State-dependent analysis," Bank of Finland Research Discussion Papers 4/2024, Bank of Finland.
    3. Bordo, Michael D. & Haubrich, Joseph G., 2024. "Low interest rates and the predictive content of the yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    4. Giraldo, Carlos & Giraldo, Iader & Gomez-Gonzalez, Jose E. & Uribe, Jorge M., 2024. "Term Spread Spillovers to Latin America and Emergence of the ‘Twin Ds’," Documentos de trabajo 21169, FLAR.

  2. Tatjana Dahlhaus & Julia Schaumburg & Tatevik Sekhposyan, 2021. "Networking the Yield Curve: Implications for Monetary Policy," Staff Working Papers 21-4, Bank of Canada.

    Cited by:

    1. Marko Mlikota, 2022. "Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications," Papers 2211.13610, arXiv.org, revised Sep 2024.

  3. Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.

    Cited by:

    1. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Working Papers No 06/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.

  4. Rossi, Barbara & Ganics, Gergely & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.

    Cited by:

    1. James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
    2. Manzan, Sebastiano, 2021. "Are professional forecasters Bayesian?," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    3. Clements, Michael P., 2021. "Rounding behaviour of professional macro-forecasters," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1614-1631.
    4. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
    5. Fabian Kruger & Hendrik Plett, 2022. "Prediction intervals for economic fixed-event forecasts," Papers 2210.13562, arXiv.org, revised Mar 2024.

  5. Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2020. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," Working Papers 1158, Barcelona School of Economics.

    Cited by:

    1. Goodhead, Robert & Kolb, Benedikt, 2018. "Monetary policy communication shocks and the macroeconomy," Discussion Papers 46/2018, Deutsche Bundesbank.
    2. Andersson, Fredrik N. G. & Kilman, Josefin, 2021. "A Study of the Romer and Romer Monetary Policy Shocks Using Revised Data," Working Papers 2021:19, Lund University, Department of Economics.
    3. Wenting Liao & Jun Ma & Chengsi Zhang, 2023. "Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 989-1006, November.
    4. Holtemöller, Oliver & Kriwoluzky, Alexander & Kwak, Boreum, 2024. "Is there an information channel of monetary policy?," IWH Discussion Papers 17/2020, Halle Institute for Economic Research (IWH), revised 2024.
    5. Christopher S. Sutherland, 2023. "Forward guidance and expectation formation: A narrative approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 222-241, March.
    6. Ester Faiaa & Sören Karau, 2021. "Systemic Bank Risk and Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-40, December.
    7. Taeyoung Doh & Dongho Song & Shu-Kuei X. Yang, 2020. "Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements," Research Working Paper RWP 20-14, Federal Reserve Bank of Kansas City.
    8. Jochen Güntner, 2020. "Central bank information and private-sector Expectations," Economics working papers 2020-07, Department of Economics, Johannes Kepler University Linz, Austria.
    9. Dimitrios Kanelis & Pierre L. Siklos, 2022. "Emotion in Euro Area Monetary Policy Communication and Bond Yields: The Draghi Era," CAMA Working Papers 2022-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Jun 2024.
    10. Christopher S Sutherland, 2022. "Forward guidance and expectation formation: A narrative approach," BIS Working Papers 1024, Bank for International Settlements.
    11. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
    12. Margaret M. Jacobson & Christian Matthes & Todd B. Walker, 2022. "Inflation Measured Every Day Keeps Adverse Responses Away: Temporal Aggregation and Monetary Policy Transmission," Finance and Economics Discussion Series 2022-054, Board of Governors of the Federal Reserve System (U.S.).
    13. Michael D. Bauer & Eric T. Swanson, 2020. "The Fed's Response to Economic News Explains the "Fed Information Effect"," CESifo Working Paper Series 8151, CESifo.
    14. Michael D. Bauer & Eric T. Swanson, 2023. "An Alternative Explanation for the "Fed Information Effect"," American Economic Review, American Economic Association, vol. 113(3), pages 664-700, March.
    15. Laséen, Stefan, 2020. "Monetary Policy Surprises, Central Bank Information Shocks, and Economic Activity in a Small Open Economy," Working Paper Series 396, Sveriges Riksbank (Central Bank of Sweden).
    16. Benjamin Gardner & Chiara Scotti & Clara Vega, 2021. "Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements," Finance and Economics Discussion Series 2021-074, Board of Governors of the Federal Reserve System (U.S.).
    17. Jarociński, Marek, 2020. "Central bank information effects and transatlantic spillovers," Working Paper Series 2482, European Central Bank.
    18. Bennett Schmanski & Chiara Scotti & Clara Vega, 2023. "Fed Communication, News, Twitter, and Echo Chambers," Finance and Economics Discussion Series 2023-036, Board of Governors of the Federal Reserve System (U.S.).
    19. Parle, Conor, 2022. "The financial market impact of ECB monetary policy press conferences — A text based approach," European Journal of Political Economy, Elsevier, vol. 74(C).
    20. Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    21. Christopher S. Sutherland, 2020. "Forward Guidance and Expectation Formation: A Narrative Approach," Staff Working Papers 20-40, Bank of Canada.
    22. Ma, Liang, 2024. "Using stock prices to help identify unconventional monetary policy shocks for external instrument SVAR," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1234-1247.
    23. Eminidou, Snezana & Zachariadis, Marios, 2022. "Firms’ expectations and monetary policy shocks in the euro area," Journal of International Money and Finance, Elsevier, vol. 122(C).
    24. Mariana García-Schmidt, 2024. "Is the Information Channel of Monetary Policy Alive in Emerging Markets?," Working Papers Central Bank of Chile 1017, Central Bank of Chile.
    25. Luca Fanelli & Antonio Marsi, 2021. "Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks," Working Papers wp1164, Dipartimento Scienze Economiche, Universita' di Bologna.
    26. Goodhead, Robert, 2024. "The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy," European Economic Review, Elsevier, vol. 164(C).
    27. Fanelli, Luca & Marsi, Antonio, 2022. "Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks," European Economic Review, Elsevier, vol. 150(C).
    28. Karnaukh, Nina & Vokata, Petra, 2022. "Growth forecasts and news about monetary policy," Journal of Financial Economics, Elsevier, vol. 146(1), pages 55-70.
    29. Han, Zhao, 2024. "Asymmetric information and misaligned inflation expectations," Journal of Monetary Economics, Elsevier, vol. 143(C).
    30. Oliver Holtemöller & Alexander Kriwoluzky & Boreum Kwak, 2020. "Exchange Rates and the Information Channel of Monetary Policy," Discussion Papers of DIW Berlin 1906, DIW Berlin, German Institute for Economic Research.

  6. Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.

    Cited by:

    1. James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
    2. Manzan, Sebastiano, 2021. "Are professional forecasters Bayesian?," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
    3. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    4. Dalhaus, Tatjana & Schaumburg, Julia & Sekhposyan, Tatevik, 2021. "Networking the yield curve: implications for monetary policy," Working Paper Series 2532, European Central Bank.
    5. Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
    6. Clements, Michael P., 2021. "Rounding behaviour of professional macro-forecasters," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1614-1631.
    7. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions," Working Paper Series 2436, European Central Bank.
    8. Fabian Kruger & Hendrik Plett, 2022. "Prediction intervals for economic fixed-event forecasts," Papers 2210.13562, arXiv.org, revised Mar 2024.

  7. Granziera, Eleonora & Sekhposyan, Tatevik, 2018. "Predicting relative forecasting performance: An empirical investigation," Bank of Finland Research Discussion Papers 23/2018, Bank of Finland.

    Cited by:

    1. Bańbura, Marta & Bobeica, Elena, 2020. "Does the Phillips curve help to forecast euro area inflation?," Working Paper Series 2471, European Central Bank.
    2. Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
    3. Florens Odendahl & Barbara Rossi & Tatevik Sekhposyan, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
    4. Luca Barbaglia & Sergio Consoli & Sebastiano Manzan, 2024. "Forecasting GDP in Europe with textual data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 338-355, March.
    5. Granziera, Eleonora & Jalasjoki, Pirkka & Paloviita, Maritta, 2024. "The bias of the ECB inflation projections: A State-dependent analysis," Bank of Finland Research Discussion Papers 4/2024, Bank of Finland.
    6. Nima Nonejad, 2021. "Crude oil price point forecasts of the Norwegian GDP growth rate," Empirical Economics, Springer, vol. 61(5), pages 2913-2930, November.
    7. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    8. Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
    9. James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    10. Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
    11. Dongyang Zhang & Cao Wang & Yu Dong, 2023. "How Does Firm ESG Performance Impact Financial Constraints? An Experimental Exploration of the COVID-19 Pandemic," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(1), pages 219-239, February.
    12. Nonejad, Nima, 2021. "Predicting equity premium by conditioning on macroeconomic variables: A prediction selection strategy using the price of crude oil," Finance Research Letters, Elsevier, vol. 41(C).
    13. Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
    14. Sifat, Imtiaz & Zarei, Alireza & Hosseini, Seyedmehdi & Bouri, Elie, 2022. "Interbank liquidity risk transmission to large emerging markets in crisis periods," International Review of Financial Analysis, Elsevier, vol. 82(C).
    15. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    16. Nonejad, Nima, 2022. "An interesting finding about the ability of geopolitical risk to forecast aggregate equity return volatility out-of-sample," Finance Research Letters, Elsevier, vol. 47(PB).
    17. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
    18. Makni, Mohammed S., 2023. "Analyzing the impact of COVID-19 on the performance of listed firms in Saudi market," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
    19. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    20. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    21. Philip Beran & Arne Vogler, 2021. "Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models," EWL Working Papers 2102, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2021.

  8. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.

    Cited by:

    1. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2020. "Uncertainty and Economic Activity: Does it Matter for Thailand?," PIER Discussion Papers 130, Puey Ungphakorn Institute for Economic Research.
    2. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  9. Barbara Rossi & Tatevik Sekhposyan & Matthieu Soupre, 2016. "Understanding the Sources of Macroeconomic Uncertainty," Working Papers 920, Barcelona School of Economics.

    Cited by:

    1. Rossi, Barbara & Sekhposyan, Tatevik & Soupré, Mattheiu, 2016. "Understanding the Sources of Macroeconomic Uncertainty," CEPR Discussion Papers 11415, C.E.P.R. Discussion Papers.
    2. Wojciech CHAREMZA & Carlos DÍAZ & Svetlana MAKAROVA, 2019. "Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-18, March.
    3. MORIKAWA Masayuki, 2022. "Firms' Knightian Uncertainty during the COVID-19 Crisis," Discussion papers 22089, Research Institute of Economy, Trade and Industry (RIETI).
    4. Bush, Georgia & López Noria, Gabriela, 2021. "Uncertainty and exchange rate volatility: Evidence from Mexico," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 704-722.
    5. Noori, Mohammad, 2024. "Stock-oil comovements through fear, uncertainty, and expectations: Evidence from conditional comoments," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 529-551.
    6. William A. Barnett & Fredj Jawadi & Zied Ftiti, 2020. "Causal Relationships Between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202010, University of Kansas, Department of Economics, revised Jul 2020.
    7. Ibrahim D. Raheem & Sara le Roux & Simplice A. Asongu, 2019. "The Role of Asymmetry and Uncertainties in the Capital Flows- Economic Growth Nexus," Research Africa Network Working Papers 19/047, Research Africa Network (RAN).
    8. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
    9. Ambrocio, Gene, 2017. "The real effects of overconfidence and fundamental uncertainty shocks," Bank of Finland Research Discussion Papers 37/2017, Bank of Finland.
    10. Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Joseph E. Stiglitz & Tania Treibich, 2020. "Rational Heuristics? Expectations And Behaviors In Evolving Economies With Heterogeneous Interacting Agents," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1487-1516, July.
    11. Laura Nowzohour & Livio Stracca, 2020. "More Than A Feeling: Confidence, Uncertainty, And Macroeconomic Fluctuations," Journal of Economic Surveys, Wiley Blackwell, vol. 34(4), pages 691-726, September.
    12. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers 18-03R, Federal Reserve Bank of Cleveland.
    13. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2020, Bank of Finland.
    14. Goodness C. Aye & Rangan Gupta, 2019. "Macroeconomic Uncertainty And The Comovement In Buying Versus Renting In The Usa," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 93-121, September.
    15. Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
    16. Ana Beatriz Galvão & James Mitchell, 2019. "Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE).
    17. MORIKAWA Masayuki, 2018. "Measuring Firm-level Uncertainty: New evidence from a business outlook survey," Discussion papers 18030, Research Institute of Economy, Trade and Industry (RIETI).
    18. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    19. Helena Chuliá & Rangan Gupta & Jorge M. Uribe & Mark E. Wohar, 2016. "Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach," Working Papers 201656, University of Pretoria, Department of Economics.
    20. Artur Tarassow, 2017. "Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures," Macroeconomics and Finance Series 201702, University of Hamburg, Department of Socioeconomics.
    21. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    22. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    23. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    24. Jonas Dovern & Geoff Kenny, 2020. "Anchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 309-347, October.
    25. Petar Sorić & Blanka Škrabić Perić & Marina Matošec, 2022. "Breaking new grounds: a fresh insight into the leading properties of business and consumer survey indicators," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4511-4535, December.
    26. Evren Erdogan Cosar & Sayg�n Sahinoz, 2018. "Quantifying Uncertainty and Identifying its Impacts on the Turkish Economy," Working Papers 1806, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    27. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    28. Graziano Moramarco, 2022. "Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers," Econometrics, MDPI, vol. 11(1), pages 1-29, December.
    29. Laurentiu Dumitru ANDREI & Petre BREZEANU, 2019. "Optimizing the Financial Structure of the State Treasury in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 180-195, June.
    30. Ferrara, L. & Istrefi, K., 2016. "Impact des chocs d’incertitude sur l’économie mondiale – Synthèse de conférence," Bulletin de la Banque de France, Banque de France, issue 206, pages 61-68.
    31. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    32. Meinen, Philipp & Roehe, Oke, 2017. "On measuring uncertainty and its impact on investment: Cross-country evidence from the euro area," European Economic Review, Elsevier, vol. 92(C), pages 161-179.
    33. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    34. Berg, Kimberly A. & Mark, Nelson C., 2018. "Measures of global uncertainty and carry-trade excess returns," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 212-227.
    35. Dalibor Stevanovic & Rachidi Kotchoni & Maxime Leroux, 2017. "Forecasting economic activity in data-rich environment," CIRANO Working Papers 2017s-05, CIRANO.
    36. Carola Binder & Tucker S. Mcelroy & Xuguang S. Sheng, 2022. "The Term Structure of Uncertainty: New Evidence from Survey Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 39-71, February.
    37. Douglas de Medeiros Franco, 2022. "Expectations, Economic Uncertainty, and Sentiment," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(5), pages 210029-2100.
    38. Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
    39. Goodness C. Aye & Rangan Gupta, 2018. "Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States," Working Papers 201832, University of Pretoria, Department of Economics.
    40. Barbara Rossi & Tatevik Sekhposyan, 2017. "Macroeconomic uncertainty indices for the Euro Area and its individual member countries," Empirical Economics, Springer, vol. 53(1), pages 41-62, August.
    41. Ambrocio, Gene, 2019. "Measuring household uncertainty in EU countries," Bank of Finland Research Discussion Papers 17/2019, Bank of Finland.
    42. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    43. Ismailov, Adilzhan & Rossi, Barbara, 2018. "Uncertainty and deviations from uncovered interest rate parity," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 242-259.

  10. Rossi, Barbara & Sekhposyan, Tatevik, 2016. "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts," CEPR Discussion Papers 11391, C.E.P.R. Discussion Papers.

    Cited by:

    1. Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
    2. Julien Champagne & Guillaume Poulin‐Bellisle & Rodrigo Sekkel, 2020. "Introducing the Bank of Canada staff economic projections database," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 114-129, January.
    3. Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.
    4. El-Shagi, Makram, 2019. "Rationality tests in the presence of instabilities in finite samples," Economic Modelling, Elsevier, vol. 79(C), pages 242-246.
    5. Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona School of Economics.
    6. Inoue, Atsushi & Rossi, Barbara, 2019. "The effects of conventional and unconventional monetary policy on exchange rates," Journal of International Economics, Elsevier, vol. 118(C), pages 419-447.
    7. Jonathan Benchimol & Makram El-Shagi, 2019. "Forecast Performance in Times of Terrorism," Bank of Israel Working Papers 2019.08, Bank of Israel.
    8. Timmermann, Allan & Pettenuzzo, Davide, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
    9. Andrew C. Chang & Trace J. Levinson, 2023. "Raiders of the lost high‐frequency forecasts: New data and evidence on the efficiency of the Fed's forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 88-104, January.
    10. Lenza, Michele & Moutachaker, Inès & Paredes, Joan, 2023. "Density forecasts of inflation: a quantile regression forest approach," CEPR Discussion Papers 18298, C.E.P.R. Discussion Papers.
    11. Paul Hubert & Becky Maule, 2021. "Policy and Macro Signals from Central Bank Announcements," International Journal of Central Banking, International Journal of Central Banking, vol. 17(2), pages 255-296, June.
    12. Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava, 2020. "Long-term forecasting of El Niño events via dynamic factor simulations," Journal of Econometrics, Elsevier, vol. 214(1), pages 46-66.
    13. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
    14. Laura Carabotta & Peter Claeys, 2015. "Combine to compete: improving fiscal forecast accuracy over time," UB School of Economics Working Papers 2015/320, University of Barcelona School of Economics.
    15. Christopher S. Sutherland, 2023. "Forward guidance and expectation formation: A narrative approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 222-241, March.
    16. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    17. Barbara Rossi & Tatevik Sekhposyan, 2014. "Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts," Economics Working Papers 1426, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2014.
    18. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Economic Policy Uncertainty: Persistence and Cross-Country Linkages," CESifo Working Paper Series 8289, CESifo.
    19. Michée A. Lachaud & Boris E. Bravo‐Ureta & Carlos E. Ludena, 2022. "Economic effects of climate change on agricultural production and productivity in Latin America and the Caribbean (LAC)," Agricultural Economics, International Association of Agricultural Economists, vol. 53(2), pages 321-332, March.
    20. Panpan Zhu & Qingjie Zhou & Yinpeng Zhang, 2024. "Investor attention and consumer price index inflation rate: Evidence from the United States," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-12, December.
    21. Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2023. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(3), pages 355-387, July.
    22. Barbara Rossi, 2018. "Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?," Economics Working Papers 1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
    23. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
    24. Tae-Hwy Lee & Yiyao Wang, 2019. "Evaluation of the Survey of Professional Forecasters in the Greenbook’s Loss Function," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 345-360, June.
    25. Christopher S Sutherland, 2022. "Forward guidance and expectation formation: A narrative approach," BIS Working Papers 1024, Bank for International Settlements.
    26. Julien Champagne & Guillaume Poulin-Bellisle & Rodrigo Sekkel, 2018. "Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts," Staff Working Papers 18-52, Bank of Canada.
    27. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    28. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    29. Travis J. Berge & Andrew C. Chang & Nitish R. Sinha, 2019. "Evaluating the Conditionality of Judgmental Forecasts," Finance and Economics Discussion Series 2019-002, Board of Governors of the Federal Reserve System (U.S.).
    30. Monique Reid & Pierre Siklos, 2023. "Rationality and biases insights from disaggregated firm level inflation expectations data," Working Papers 11050, South African Reserve Bank.
    31. Robert P. Lieli & Augusto Nieto-Barthaburu, 2023. "Forecasting with Feedback," Papers 2308.15062, arXiv.org, revised Aug 2024.
    32. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    33. Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    34. Tae-Hwy Lee & Yiyao Wang, 2015. "Finding SPF Percentiles Closest to Greenbook," Working Papers 201503, University of California at Riverside, Department of Economics.
    35. Christopher S. Sutherland, 2020. "Forward Guidance and Expectation Formation: A Narrative Approach," Staff Working Papers 20-40, Bank of Canada.
    36. Lillian R. Gaeto & Sandeep Mazumder, 2019. "Measuring the Accuracy of Federal Reserve Forecasts," Southern Economic Journal, John Wiley & Sons, vol. 85(3), pages 960-984, January.
    37. J. Daniel Aromí & Martín Llada, 2024. "Are professional forecasters inattentive to public discussions? The case of inflation in Argentina," Working Papers 300, Red Nacional de Investigadores en Economía (RedNIE).
    38. Wang, Lu & Zhao, Chenchen & Liang, Chao & Jiu, Song, 2022. "Predicting the volatility of China's new energy stock market: Deep insight from the realized EGARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 48(C).
    39. Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
    40. Carlos Henrique Dias Cordeiro de Castro & Fernando Antonio Lucena Aiube, 2023. "Forecasting inflation time series using score‐driven dynamic models and combination methods: The case of Brazil," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 369-401, March.
    41. G. Kontogeorgos & K. Lambrias, 2022. "Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 213-229, March.
    42. William J. Procasky & Anwen Yin, 2022. "Forecasting high‐yield equity and CDS index returns: Does observed cross‐market informational flow have predictive power?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1466-1490, August.

  11. Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2015. "Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR," Working Papers 2015-030, Federal Reserve Bank of St. Louis, revised 10 Apr 2020.

    Cited by:

    1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
    2. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using hierarchical aggregation constraints to nowcast regional economic aggregates," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-04, Economic Statistics Centre of Excellence (ESCoE).
    3. Joshua C. C. Chan, 2024. "BVARs and stochastic volatility," Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 3, pages 43-67, Edward Elgar Publishing.
    4. Edward S. Knotek & Saeed Zaman, 2024. "Nowcasting Inflation," Working Papers 24-06, Federal Reserve Bank of Cleveland.
    5. Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
    6. Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
    7. Berger, Tino & Morley, James & Wong, Benjamin, 2023. "Nowcasting the output gap," Journal of Econometrics, Elsevier, vol. 232(1), pages 18-34.
      • Tino Berger & James Morley & Benjamin Wong, 2020. "Nowcasting the output gap," CAMA Working Papers 2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Brave, Scott A. & Butters, R. Andrew & Justiniano, Alejandro, 2019. "Forecasting economic activity with mixed frequency BVARs," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1692-1707.
    9. Motegi, Kaiji & Sadahiro, Akira, 2018. "Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 118-128.
    10. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
    11. Boriss Siliverstovs, 2019. "Assessing Nowcast Accuracy of US GDP Growth in Real Time: The Role of Booms and Busts," Working Papers 2019/01, Latvijas Banka.
    12. Javier Sánchez García & Salvador Cruz Rambaud, 2022. "Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs," Mathematics, MDPI, vol. 10(6), pages 1-15, March.
    13. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
    14. Alain Hecq & Marie Ternes & Ines Wilms, 2023. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers 2301.10592, arXiv.org, revised Nov 2024.

  12. Barbara Rossi & Tatevik Sekhposyan, 2015. "Alternative Tests for Correct Specification of Conditional Predictive Densities," Working Papers 758, Barcelona School of Economics.

    Cited by:

    1. Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts," Economics Working Papers 1689, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    3. Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
    4. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    5. Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
    6. Yunyun Wang & Tatsushi Oka & Dan Zhu, 2024. "Inflation Target at Risk: A Time-varying Parameter Distributional Regression," Papers 2403.12456, arXiv.org.
    7. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2021. "Multimodality In Macrofinancial Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 861-886, May.
    8. James Mitchell & Martin Weale, 2021. "Censored Density Forecasts: Production and Evaluation," Working Papers 21-12R, Federal Reserve Bank of Cleveland, revised 16 Aug 2022.
    9. Alex Tagliabracci, 2020. "Asymmetry in the conditional distribution of euro-area inflation," Temi di discussione (Economic working papers) 1270, Bank of Italy, Economic Research and International Relations Area.
    10. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using hierarchical aggregation constraints to nowcast regional economic aggregates," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-04, Economic Statistics Centre of Excellence (ESCoE).
    11. Nikoleta Anesti & Ana Beatriz Galvão & Silvia Miranda‐Agrippino, 2022. "Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 42-62, January.
    12. James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
    13. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Working Papers 23-30, Federal Reserve Bank of Cleveland.
    14. Fabio Busetti & Michele Caivano & Davide Delle Monache & Claudia Pacella, 2020. "The time-varying risk of Italian GDP," Temi di discussione (Economic working papers) 1288, Bank of Italy, Economic Research and International Relations Area.
    15. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
    16. Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
    17. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
    18. Yunyun Wang & Tatsushi Oka & Dan Zhu, 2023. "Distributional Vector Autoregression: Eliciting Macro and Financial Dependence," Papers 2303.04994, arXiv.org.
    19. David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
    20. Ferrara, Laurent & Mogliani, Matteo & Sahuc, Jean-Guillaume, 2022. "High-frequency monitoring of growth at risk," International Journal of Forecasting, Elsevier, vol. 38(2), pages 582-595.
    21. Knüppel, Malte & Krüger, Fabian & Pohle, Marc-Oliver, 2022. "Score-based calibration testing for multivariate forecast distributions," Discussion Papers 50/2022, Deutsche Bundesbank.
    22. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Working Papers No 06/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    23. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Too many skew normal distributions? The practitioner’s perspective," Discussion Papers in Economics 13/07, Division of Economics, School of Business, University of Leicester.
    24. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
    25. Banerjee, Ryan & Contreras, Juan & Mehrotra, Aaron & Zampolli, Fabrizio, 2024. "Inflation at risk in advanced and emerging market economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
    26. Tomás Marinozzi, 2023. "Forecasting Inflation in Argentina: A Probabilistic Approach," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(81), pages 81-110, May.
    27. Niko Hauzenberger & Florian Huber & Karin Klieber, 2020. "Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques," Papers 2012.08155, arXiv.org, revised Dec 2021.
    28. Korobilis, Dimitris & Landau, Bettina & Musso, Alberto & Phella, Anthoulla, 2021. "The time-varying evolution of inflation risks," Working Paper Series 2600, European Central Bank.
    29. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    30. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
    31. Rossi, Barbara & Ganics, Gergely & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
    32. J. David López-Salido & Francesca Loria, 2020. "Inflation at Risk," Finance and Economics Discussion Series 2020-013, Board of Governors of the Federal Reserve System (U.S.).
    33. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    34. Gara Afonso & Domenico Giannone & Gabriele La Spada & John C. Williams, 2022. "Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve," Staff Reports 1019, Federal Reserve Bank of New York.
    35. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
    36. Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
    37. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    38. Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
    39. Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2016. "Vulnerable Growth," CEPR Discussion Papers 11583, C.E.P.R. Discussion Papers.
    40. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    41. Matteo Mogliani & Florens Odendahl, 2024. "Density forecast transformations," Papers 2412.06092, arXiv.org.
    42. López-Salido, J David & Loria, Francesca, 2019. "Inflation at Risk," CEPR Discussion Papers 14074, C.E.P.R. Discussion Papers.
    43. Michael W. McCracken, 2020. "Diverging Tests of Equal Predictive Ability," Econometrica, Econometric Society, vol. 88(4), pages 1753-1754, July.
    44. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
    45. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    46. Lhuissier, Stéphane, 2022. "Financial conditions and macroeconomic downside risks in the euro area," European Economic Review, Elsevier, vol. 143(C).
    47. López-Salido, David & Loria, Francesca, 2024. "Inflation at risk," Journal of Monetary Economics, Elsevier, vol. 145(S).
    48. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates," Working Papers 22-06, Federal Reserve Bank of Cleveland.
    49. James Mitchell & Saeed Zaman, 2023. "The Distributional Predictive Content of Measures of Inflation Expectations," Working Papers 23-31, Federal Reserve Bank of Cleveland.
    50. Taylor, James W., 2020. "A strategic predictive distribution for tests of probabilistic calibration," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1380-1388.

  13. Barbara Rossi & Tatevik Sekhposyan, 2015. "Macroeconomic Uncertainty Indices for the Euro Area and Individual Member Countries," Working Papers 820, Barcelona School of Economics.

    Cited by:

    1. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
    2. Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
    3. Bonciani, Dario, 2015. "Estimating the effects of uncertainty over the business cycle," MPRA Paper 65921, University Library of Munich, Germany.
    4. Christina Christou & Rangan Gupta & Christis Hassapis, 2016. "Does Economic Policy Uncertainty Forecast Real Housing Returns in a Panel of OECD Countries? A Bayesian Approach," Working Papers 201637, University of Pretoria, Department of Economics.
    5. Berg, Tim Oliver, 2019. "Business Uncertainty And The Effectiveness Of Fiscal Policy In Germany," Macroeconomic Dynamics, Cambridge University Press, vol. 23(4), pages 1442-1470, June.
    6. Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018. "Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-15, April.
    7. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Reneé van Eyden, 2016. "Effectiveness of Monetary Policy in the Euro Area: The Role of US Economic Policy Uncertainty," Working Papers 201620, University of Pretoria, Department of Economics.
    8. Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers 2015-12, University of Paris Nanterre, EconomiX.
    9. Sylwia Nowak & Pratiti Chatterjee, 2016. "Forecast Errors and Uncertainty Shocks," IMF Working Papers 2016/228, International Monetary Fund.
    10. Helena Chuliá & Rangan Gupta & Jorge M. Uribe & Mark E. Wohar, 2016. "Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach," Working Papers 201656, University of Pretoria, Department of Economics.
    11. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    12. Wensheng Kang & Ronald A. Ratti & Joaquin Vespignani, 2016. "Global uncertainty and the global economy: Decomposing the impact of uncertainty shocks," CAMA Working Papers 2016-39, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Michele Piffer & Maximilian Podstawski, 2017. "Identifying Uncertainty Shocks Using the Price of Gold," CESifo Working Paper Series 6327, CESifo.
    14. Maurizio Bovi, 2016. "The tale of two expectations," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(6), pages 2677-2705, November.
    15. Meinen, Philipp & Roehe, Oke, 2017. "On measuring uncertainty and its impact on investment: Cross-country evidence from the euro area," European Economic Review, Elsevier, vol. 92(C), pages 161-179.
    16. Balcilar, Mehmet & Gupta, Rangan & Pierdzioch, Christian, 2016. "Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test," Resources Policy, Elsevier, vol. 49(C), pages 74-80.
    17. M. E. Bontempi & R. Golinelli & M. Squadrani, 2016. "A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators?," Working Papers wp1062, Dipartimento Scienze Economiche, Universita' di Bologna.

  14. Barbara Rossi & Tatevik Sekhposyan, 2015. "Macroeconomic uncertainty indices based on nowcast and forecast error distributions," Economics Working Papers 1477, Department of Economics and Business, Universitat Pompeu Fabra.

    Cited by:

    1. Chatterjee Pratiti, 2019. "Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-27, April.
    2. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    3. Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark E. Wohar, 2016. "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Open Economies Review, Springer, vol. 27(2), pages 229-250, April.
    4. Wojciech CHAREMZA & Carlos DÍAZ & Svetlana MAKAROVA, 2019. "Conditional Term Structure of Inflation Forecast Uncertainty: The Copula Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-18, March.
    5. Oguzhan Cepni & I. Ethem Guney & Norman R. Swanson, 2020. "Forecasting and nowcasting emerging market GDP growth rates: The role of latent global economic policy uncertainty and macroeconomic data surprise factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 18-36, January.
    6. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the zero lower bound," Bank of Finland Research Discussion Papers 6/2017, Bank of Finland.
    7. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    8. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
    9. Angus Moore, 2016. "Measuring Economic Uncertainty and Its Effects," RBA Research Discussion Papers rdp2016-01, Reserve Bank of Australia.
    10. Christou, Christina & Gupta, Rangan, 2020. "Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 243-248.
    11. Francisco Serranito & Nicolas Himounet & Julien Vauday, 2023. "Uncertainty is bad for Business. Really?," EconomiX Working Papers 2023-26, University of Paris Nanterre, EconomiX.
    12. Pratiti Chatterjee & Fabio Milani, 2020. "Perceived Uncertainty Shocks, Excess Optimism-Pessimism, and Learning in the Business Cycle," Working Papers 202101, University of California-Irvine, Department of Economics.
    13. Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
    14. Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2017. "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," CEPII Policy Brief 2017-20, CEPII research center.
    15. Jackson Laura E. & Kliesen Kevin L. & Owyang Michael T., 2020. "The nonlinear effects of uncertainty shocks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-19, September.
    16. Bonciani, Dario, 2015. "Estimating the effects of uncertainty over the business cycle," MPRA Paper 65921, University Library of Munich, Germany.
    17. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    18. Soojin Jo & Rodrigo Sekkel, 2019. "Macroeconomic Uncertainty Through the Lens of Professional Forecasters," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 436-446, July.
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    20. Tan, Xueping & Zhong, Yiran & Vivian, Andrew & Geng, Yong & Wang, Ziyi & Zhao, Difei, 2024. "Towards an era of multi-source uncertainty: A systematic and bibliometric analysis," International Review of Financial Analysis, Elsevier, vol. 95(PB).
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    152. Sakariyahu, Rilwan & Lawal, Rodiat & Adigun, Rasheed & Paterson, Audrey & Johan, Sofia, 2024. "One crash, too many: Global uncertainty, sentiment factors and cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    153. Wang, Xinya & Xu, Xin & Rong, Xueyun & Xuan, Siyuan, 2024. "Identification of the contagion effect in China's financial market uncertainties: A multiscale and dynamic perspective," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1340-1362.
    154. Knüppel, Malte, 2014. "Forecast-error-based estimation of forecast uncertainty when the horizon is increased," Discussion Papers 40/2014, Deutsche Bundesbank.
    155. Claveria, Oscar, 2022. "Global economic uncertainty and suicide: Worldwide evidence," Social Science & Medicine, Elsevier, vol. 305(C).
    156. Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018. "Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows," Papers 1802.00793, arXiv.org.
    157. Ademmer, Martin & Beckmann, Joscha & Jannsen, Nils, 2019. "Zu den Auswirkungen des jüngsten Anstiegs der globalen wirtschaftspolitischen Unsicherheit," Kiel Insight 2019.7, Kiel Institute for the World Economy (IfW Kiel).
    158. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2019. "How important are different aspects of uncertainty in driving industrial production in the CEE countries?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 252-266.
    159. Christian Glocker & Werner Hölzl, 2019. "Assessing the Economic Content of Direct and Indirect Business Uncertainty Measures," WIFO Working Papers 576, WIFO.
    160. Baltas, Konstantinos N. & Kapetanios, George & Tsionas, Efthymios & Izzeldin, Marwan, 2017. "Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 36-56.
    161. Yin, Hong & Chang, Long & Wang, Shu, 2023. "The impact of China's economic uncertainty on commodity and financial markets," Resources Policy, Elsevier, vol. 84(C).
    162. Kranz Tobias, 2019. "Non-Linearities and the Euler Equation: Does Uncertainty Have an Effect on the Approximation Quality?," Review of Economics, De Gruyter, vol. 70(3), pages 267-293, December.
    163. Graziano Moramarco, 2020. "Measuring Global Macroeconomic Uncertainty," Working Papers wp1148, Dipartimento Scienze Economiche, Universita' di Bologna.
    164. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
    165. Goodness C. Aye & Rangan Gupta, 2018. "Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States," Working Papers 201832, University of Pretoria, Department of Economics.
    166. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    167. Awijen, Haithem & Ben Zaied, Younes & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States," MPRA Paper 101276, University Library of Munich, Germany, revised Jun 2020.
    168. Mario Canales & Bernabe Lopez-Martin, 2021. "Uncertainty, Risk, and Price-Setting: Evidence from CPI Microdata," Working Papers Central Bank of Chile 908, Central Bank of Chile.
    169. Angelini, Giovanni & Costantini, Mauro & Easaw, Joshy, 2018. "Uncertainty and spillover effects across the Euro area," Cardiff Economics Working Papers E2018/15, Cardiff University, Cardiff Business School, Economics Section.
    170. Barbara Rossi & Tatevik Sekhposyan, 2017. "Macroeconomic uncertainty indices for the Euro Area and its individual member countries," Empirical Economics, Springer, vol. 53(1), pages 41-62, August.
    171. Ding, Yibing & Liu, Ziyu & Liu, Dayu, 2022. "Structural news shock, financial market uncertainty and China's business fluctuations," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    172. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    173. Ismailov, Adilzhan & Rossi, Barbara, 2018. "Uncertainty and deviations from uncovered interest rate parity," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 242-259.
    174. M. E. Bontempi & R. Golinelli & M. Squadrani, 2016. "A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators?," Working Papers wp1062, Dipartimento Scienze Economiche, Universita' di Bologna.
    175. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
    176. Jasmina Arifovic & Alex Grimaud & Isabelle Salle & Gauthier Vermandel, 2024. "Social Learning and Monetary Policy at the Effective Lower Bound," Post-Print hal-04502663, HAL.
    177. Oscar Claveria & Petar Sorić, 2023. "Labour market uncertainty after the irruption of COVID-19," Empirical Economics, Springer, vol. 64(4), pages 1897-1945, April.
    178. Oscar Claveria, 2020. "Measuring and assessing economic uncertainty," IREA Working Papers 202011, University of Barcelona, Research Institute of Applied Economics, revised Jul 2020.
    179. Ralf Fendel & Nicola Mai & Oliver Mohr, 2019. "The Shape of Eurozone’s Uncertainty: Its Impact and Predictive Value on GDP," WHU Working Paper Series - Economics Group 19-01, WHU - Otto Beisheim School of Management.
    180. Anthony M. Diercks & Alex Hsu & Andrea Tamoni, 2020. "When it Rains it Pours: Cascading Uncertainty Shocks," Finance and Economics Discussion Series 2020-064, Board of Governors of the Federal Reserve System (U.S.).
    181. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
    182. Tatjana Dahlhaus & Tatevik Sekhposyan, 2018. "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers 18-50, Bank of Canada.
    183. Reboredo, Juan C. & Ugolini, Andrea, 2024. "The impact of uncertainty shocks on energy transition metal prices," Resources Policy, Elsevier, vol. 95(C).
    184. Angelini Giovanni & Costantini Mauro & Easaw Joshy, 2024. "Estimating uncertainty spillover effects across euro area using a regime dependent VAR model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 39-59, February.

  15. Barbara Rossi & Tatevik Sekhposyan, 2013. "Conditional predictive density evaluation in the presence of instabilities," Economics Working Papers 1368, Department of Economics and Business, Universitat Pompeu Fabra.

    Cited by:

    1. Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts," Economics Working Papers 1689, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Petrella, Ivan & Delle Monache, Davide, 2016. "Adaptive models and heavy tails," Bank of England working papers 577, Bank of England.
    3. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    4. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    5. Barbara Rossi, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 510-514, October.
    6. Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
    7. Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
    8. Emilio Zanetti Chini, 2018. "Forecaster’s utility and forecasts coherence," CREATES Research Papers 2018-01, Department of Economics and Business Economics, Aarhus University.
    9. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
    10. Gregor Bäurle & Elizabeth Steiner & Gabriel Züllig, 2021. "Forecasting the production side of GDP," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 458-480, April.
    11. Barbara Rossi & Tatevik Sekhposyan, 2013. "Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set," Economics Working Papers 1370, Department of Economics and Business, Universitat Pompeu Fabra.
    12. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Working Papers No 06/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    13. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    14. Rossi, Barbara & Ganics, Gergely & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
    15. Barbara Rossi, 2018. "Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?," Economics Working Papers 1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
    16. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CEIS Research Paper 340, Tor Vergata University, CEIS, revised 10 Apr 2015.
    17. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    18. Zdeněk Zmeškal & Dana Dluhošová & Karolina Lisztwanová & Antonín Pončík & Iveta Ratmanová, 2023. "Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy," Forecasting, MDPI, vol. 5(2), pages 1-19, May.
    19. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    20. Michael P. Clements & Ana Beatriz Galvão, 2023. "Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 164-185, March.
    21. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.

  16. Barbara Rossi & Tatevik Sekhposyan, 2013. "Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set," Economics Working Papers 1370, Department of Economics and Business, Universitat Pompeu Fabra.

    Cited by:

    1. Marine Carrasco & Barbara Rossi, 2016. "In-sample inference and forecasting in misspecified factor models," Economics Working Papers 1530, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts," Economics Working Papers 1689, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Barnett, William & Park, Sohee, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," MPRA Paper 110298, University Library of Munich, Germany.
    4. Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Business School, revised Aug 2016.
    5. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    6. Berg, Tim O. & Henzel, Steffen R., 2015. "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
    7. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    8. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    9. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    10. Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2020. "Proper scoring rules for evaluating asymmetry in density forecasting," Working Papers No 06/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    11. Korobilis, Dimitris, 2017. "Quantile regression forecasts of inflation under model uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 11-20.
    12. Tim Oliver Berg, 2015. "Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound," ifo Working Paper Series 203, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    13. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    14. Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
    15. Graziano Moramarco, 2021. "Regime-Switching Density Forecasts Using Economists' Scenarios," Papers 2110.13761, arXiv.org, revised Feb 2024.
    16. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    17. Rossi, Barbara & Ganics, Gergely & Sekhposyan, Tatevik, 2020. "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca," CEPR Discussion Papers 14267, C.E.P.R. Discussion Papers.
    18. Chalmovianský, Jakub & Porqueddu, Mario & Sokol, Andrej, 2020. "Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area," Working Paper Series 2501, European Central Bank.
    19. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers (Old Series) 1715, Federal Reserve Bank of Cleveland.
    20. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    21. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    22. Barbara Rossi & Tatevik Sekhposyan, 2015. "Macroeconomic uncertainty indices based on nowcast and forecast error distributions," Economics Working Papers 1477, Department of Economics and Business, Universitat Pompeu Fabra.
    23. Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 64-77, April.
    24. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    25. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    26. Justyna Wróblewska & Anna Pajor, 2019. "One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(1), pages 23-45, March.
    27. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    28. Foltas, Alexander & Pierdzioch, Christian, 2020. "On the efficiency of German growth forecasts: An empirical analysis using quantile random forests," Working Papers 21, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    29. Sebastiano Manzan, 2015. "Forecasting the Distribution of Economic Variables in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 144-164, January.
    30. Moramarco, Graziano, 2024. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," International Journal of Forecasting, Elsevier, vol. 40(2), pages 777-795.
    31. Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    32. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    33. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
    34. Stephen McKnight & Alexander Mihailov & Fabio Rumler, 2018. "NKPC-Based Inflation Forecasts with a Time-Varying Trend," Serie documentos de trabajo del Centro de Estudios Económicos 2018-05, El Colegio de México, Centro de Estudios Económicos.
    35. Anna Pajor & Justyna Wróblewska & Łukasz Kwiatkowski & Jacek Osiewalski, 2024. "Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?," International Statistical Review, International Statistical Institute, vol. 92(1), pages 62-86, April.
    36. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    37. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.
    38. Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
    39. Taylor, James W., 2020. "A strategic predictive distribution for tests of probabilistic calibration," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1380-1388.
    40. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.

  17. Barbara Rossi & Tatevik Sekhposyan, 2011. "Forecast Optimality Tests in the Presence of Instabilities," Working Papers 11-18, Duke University, Department of Economics.

    Cited by:

    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Barbara Rossi, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 510-514, October.
    3. Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
    4. Barbara Rossi, 2011. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 25-29, August.
    5. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2013. "Does Central Bank Staff Beat Private Forecasters?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79925, Verein für Socialpolitik / German Economic Association.
    6. Jung, Alexander & El-Shagi, Makram & Giesen, Sebastian, 2014. "Does the federal reserve staff still beat private forecasters?," Working Paper Series 1635, European Central Bank.
    7. Rossi, Barbara & Gürkaynak, Refet & Kısacıkoğlu, Burçin, 2013. "Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?," CEPR Discussion Papers 9576, C.E.P.R. Discussion Papers.

  18. Barbara Rossi & Tatevik Sekhposyan, 2010. "Understanding Models' Forecasting Performance," Working Papers 10-56, Duke University, Department of Economics.

    Cited by:

    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Liu, Xiaochun, 2015. "Modeling time-varying skewness via decomposition for out-of-sample forecast," International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
    3. Robert Lehmann & Antje Weyh, 2016. "Forecasting Employment in Europe: Are Survey Results Helpful?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 81-117, September.
    4. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    5. Ibrahim D. Raheem & Xuan Vinh Vo, 2022. "A new approach to exchange rate forecast: The role of global financial cycle and time‐varying parameters," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2836-2848, July.
    6. Aaron J. Amburgey & Michael W. McCracken, 2023. "On the real‐time predictive content of financial condition indices for growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 137-163, March.
    7. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    8. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
    9. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
    10. Norman R. Swanson & Weiqi Xiong & Xiye Yang, 2020. "Predicting interest rates using shrinkage methods, real‐time diffusion indexes, and model combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 587-613, August.
    11. Feng, Wenjun & Zhang, Zhengjun, 2023. "Currency exchange rate predictability: The new power of Bitcoin prices," Journal of International Money and Finance, Elsevier, vol. 132(C).
    12. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018. "On The Sources Of Uncertainty In Exchange Rate Predictability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
    13. Demetrescu, Matei & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2023. "Transformed regression-based long-horizon predictability tests," Journal of Econometrics, Elsevier, vol. 237(2).
    14. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    15. Chao, Shih-Wei, 2016. "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 10-26.
    16. Bloem da Silveira Junior, Luiz A. & Vasconcellos, Eduardo & Vasconcellos Guedes, Liliana & Guedes, Luis Fernando A. & Costa, Renato Machado, 2018. "Technology roadmapping: A methodological proposition to refine Delphi results," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 194-206.
    17. Karlsson, Sune & Österholm, Pär, 2018. "A Note on the Stability of the Swedish Philips Curve," Working Papers 2018:6, Örebro University, School of Business.
    18. Atsushi Inoue & Barbara Rossi, 2011. "Out-of-sample forecast tests robust to the choice of window size," Working Papers 11-31, Federal Reserve Bank of Philadelphia.
    19. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    20. Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017. "Time-varying Model Averaging," Working Papers 202001, University of California at Riverside, Department of Economics.
    21. Edvinsson, Rodney & Karlsson, Sune & Österholm, Pär, 2023. "Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data," Working Papers 2023:3, Örebro University, School of Business.
    22. Ghandar, Adam & Michalewicz, Zbigniew & Zurbruegg, Ralf, 2016. "The relationship between model complexity and forecasting performance for computer intelligence optimization in finance," International Journal of Forecasting, Elsevier, vol. 32(3), pages 598-613.
    23. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    24. Eicher, Theo S. & Rollinson, Yuan Gao, 2023. "The accuracy of IMF crises nowcasts," International Journal of Forecasting, Elsevier, vol. 39(1), pages 431-449.

  19. Tatevik Sekhposyan & Barbara Rossi, 2009. "Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?," Working Papers 09-06, Duke University, Department of Economics.

    Cited by:

    1. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
    2. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.

  20. Neville Francis & Michael T. Owyang & Tatevik Sekhposyan, 2009. "The local effects of monetary policy," Working Papers 2009-048, Federal Reserve Bank of St. Louis.

    Cited by:

    1. de Groot, Oliver & Hauptmeier, Sebastian & Holm-Hadulla, Fédéric & Nikalexi, Katerina, 2020. "Monetary policy and regional inequality," Working Paper Series 2385, European Central Bank.
    2. Sourav Ray & Avichai Snir & Daniel Levy, 2023. "Retail pricing format and rigidity of regular prices," Economica, London School of Economics and Political Science, vol. 90(360), pages 1173-1203, October.
    3. Martin Iseringhausen, 2024. "The housing supply channel of monetary policy," Working Papers 59, European Stability Mechanism, revised 05 Feb 2024.
    4. Chadi S. Abdallah & William D. Lastrapes, 2013. "Evidence on the Relationship between Housing and Consumption in the United States: A State‐Level Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 559-590, June.
    5. Rocha, Roberta de Moraes & da Silva, Marcelo Eduardo Alves & Gomes, Sonia Maria Fonseca Pereira Oliveira, 2011. "Por que os estados brasileiros têm reações assimétricas a choques na política monetária?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(4), November.
    6. Ioannides, Yannis M., 2018. "A DMP model of intercity trade," Labour Economics, Elsevier, vol. 50(C), pages 97-111.
    7. Danilo Leiva-Leon, 2017. "Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework," Working Papers 1726, Banco de España.
    8. Igor Ézio Maciel Silva, 2016. "The Differential Regional Effects Of Monetary And Fiscal Policies In Brazil," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 040, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  21. Tatevik Sekhposyan & Barbara Rossi, 2008. "Has modelsí forecasting performance for US output growth and inflation changed over time, and when?," Working Papers 09-02, Duke University, Department of Economics.

    Cited by:

    1. Juan Carlos Pérez-Velasco Pavón, 2009. "Determinantes de la demanda por la denominación promedio de billete: el caso de México," Monetaria, CEMLA, vol. 0(4), pages 523-548, octubre-d.
    2. Gogas, Periklis & Papadimitriou, Theophilos & Plakandaras, Vasilios & Gupta, Rangan, 2019. "The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach," DUTH Research Papers in Economics 3-2016, Democritus University of Thrace, Department of Economics.
    3. Barnett, William & Park, Sohee, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," MPRA Paper 110298, University Library of Munich, Germany.
    4. Li, You & Tay, Anthony, 2021. "The role of macroeconomic and policy uncertainty in density forecast dispersion," Journal of Macroeconomics, Elsevier, vol. 67(C).
    5. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
    6. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    7. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    9. Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
    10. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
    11. Carlos Barros & Luis Gil-Alana, 2012. "Inflation forecasting in Angola: a fractional approach," CEsA Working Papers 103, CEsA - Centre for African and Development Studies.
    12. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
    13. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
    14. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    15. Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
    16. Ayse Dur & Enrique Martínez García, 2020. "Mind the Gap!—A Monetarist View of the Open-Economy Phillips Curve," Globalization Institute Working Papers 392, Federal Reserve Bank of Dallas.
    17. Barbara Rossi, 2011. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 25-29, August.
    18. Meyler, Aidan & Grothe, Magdalena, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series 1865, European Central Bank.
    19. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
    20. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    21. Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011. "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics 19953, University of Munich, Department of Economics.
    22. Barbara Rossi & Tatevik Sekhposyan, 2013. "Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set," Economics Working Papers 1370, Department of Economics and Business, Universitat Pompeu Fabra.
    23. Rodrigo Sekkel, 2014. "Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?," Staff Working Papers 14-40, Bank of Canada.
    24. Benjamin Beckers & Konstantin A. Kholodilin & Dirk Ulbricht, 2017. "Reading between the Lines: Using Media to Improve German Inflation Forecasts," Discussion Papers of DIW Berlin 1665, DIW Berlin, German Institute for Economic Research.
    25. Anna Florio, 2016. "The central bank as shaper and observer of events: The case of the yield spread," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 320-346, February.
    26. Jari Hännikäinen, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Working Papers 1495, Tampere University, Faculty of Management and Business, Economics.
    27. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    28. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
    29. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    30. Manzan, Sebastiano & Zerom, Dawit, 2009. "Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?," MPRA Paper 14387, University Library of Munich, Germany.
    31. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
    32. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
    33. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
    34. Kirdan Lees, 2009. "Overview of a recent Reserve Bank workshop: nowcasting with model combination," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 31-33, March.
    35. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
    36. Pierre Perron & Yohei Yamamoto, 2008. "Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors," Boston University - Department of Economics - Working Papers Series wp2008-017, Boston University - Department of Economics.
    37. Pierre Perron & Yohei Yamamoto, 2015. "Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 119-144, January.
    38. Denis Shibitov & Mariam Mamedli, 2021. "Forecasting Russian Cpi With Data Vintages And Machine Learning Techniques," Bank of Russia Working Paper Series wps70, Bank of Russia.
    39. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    40. Burgess, Matthew G. & Langendorf, Ryan E. & Ippolito, Tara & Pielke, Roger Jr, 2020. "Optimistically biased economic growth forecasts and negatively skewed annual variation," SocArXiv vndqr, Center for Open Science.
    41. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    42. Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.
    43. Bel, Koen & Paap, Richard, 2016. "Modeling the impact of forecast-based regime switches on US inflation," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1306-1316.
    44. Juan Díaz Maureira & Gustavo Leyva Jiménez, 2009. "Proyección de la inflación chilena en tiempos difíciles," Monetaria, CEMLA, vol. 0(4), pages 491-522, octubre-d.
    45. Fossati, Sebastian, 2017. "Testing for State-Dependent Predictive Ability," Working Papers 2017-9, University of Alberta, Department of Economics.
    46. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    47. Faria, Gonçalo & Verona, Fabio, 2024. "Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators," Bank of Finland Research Discussion Papers 14/2024, Bank of Finland.
    48. Stephen McKnight & Alexander Mihailov & Fabio Rumler, 2018. "NKPC-Based Inflation Forecasts with a Time-Varying Trend," Serie documentos de trabajo del Centro de Estudios Económicos 2018-05, El Colegio de México, Centro de Estudios Económicos.
    49. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
    50. Strauss, Jack, 2013. "Does housing drive state-level job growth? Building permits and consumer expectations forecast a state’s economic activity," Journal of Urban Economics, Elsevier, vol. 73(1), pages 77-93.
    51. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
    52. Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, CEMLA, vol. 0(4), pages 451-489, octubre-d.
    53. Andrés Schneider, 2009. "Regímenes de flotación administrada: un enfoque de cartera," Monetaria, CEMLA, vol. 0(4), pages 549-584, octubre-d.
    54. Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
    55. Jari Hännikäinen, 2015. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 47-54, September.
    56. Harun Özkan & M. Yazgan, 2015. "Is forecasting inflation easier under inflation targeting?," Empirical Economics, Springer, vol. 48(2), pages 609-626, March.

Articles

  1. Lukas Hoesch & Barbara Rossi & Tatevik Sekhposyan, 2023. "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(3), pages 355-387, July.
    See citations under working paper version above.
  2. Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
    See citations under working paper version above.
  3. Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2021. "Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-41, December.
    See citations under working paper version above.
  4. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    See citations under working paper version above.
  5. Rossi, Barbara & Sekhposyan, Tatevik, 2019. "Alternative tests for correct specification of conditional predictive densities," Journal of Econometrics, Elsevier, vol. 208(2), pages 638-657.
    See citations under working paper version above.
  6. Barbara Rossi & Tatevik Sekhposyan, 2017. "Macroeconomic uncertainty indices for the Euro Area and its individual member countries," Empirical Economics, Springer, vol. 53(1), pages 41-62, August.

    Cited by:

    1. Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
    2. Richardson Kojo Edeme & Ekene ThankGod Emeka & Jonathan Emenike Ogbuabor, 2024. "Global Uncertainty, Climate Change and the Unemployment-Economic Growth Relationship in Nigeria," Journal of Development Policy and Practice, , vol. 9(2), pages 238-256, July.
    3. Michael Pfarrhofer, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Papers 1908.06325, arXiv.org, revised Dec 2019.
    4. Ambrocio, Gene, 2017. "The real effects of overconfidence and fundamental uncertainty shocks," Bank of Finland Research Discussion Papers 37/2017, Bank of Finland.
    5. Glas, Alexander, 2020. "Five dimensions of the uncertainty–disagreement linkage," International Journal of Forecasting, Elsevier, vol. 36(2), pages 607-627.
    6. Jia, Wenbo & Lyu, Yiqing & Zhu, Zixiang, 2024. "The tail risk of crude oil Price_Based on EPU and geopolitical risk perspective," Resources Policy, Elsevier, vol. 92(C).
    7. Vasilios Plakandaras & Rangan Gupta & Mark E. Wohar, 2019. "Persistence of economic uncertainty: a comprehensive analysis," Applied Economics, Taylor & Francis Journals, vol. 51(41), pages 4477-4498, September.
    8. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2019. "Assessing International Commonality in Macroeconomic Uncertainty and Its Effects," Working Papers 18-03R, Federal Reserve Bank of Cleveland.
    9. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2020, Bank of Finland.
    10. Luca Rossi, 2020. "Indicators of uncertainty: a brief user’s guide," Questioni di Economia e Finanza (Occasional Papers) 564, Bank of Italy, Economic Research and International Relations Area.
    11. Oscar Claveria, 2021. "Uncertainty indicators based on expectations of business and consumer surveys," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 483-505, May.
    12. Jonathan Rice, 2020. "Policy Uncertainty Shocks and Small Open Economies in Monetary Union: a Case Study of Ireland," Trinity Economics Papers tep1020, Trinity College Dublin, Department of Economics.
    13. Oscar Claveria, 2021. "On the Aggregation of Survey-Based Economic Uncertainty Indicators Between Different Agents and Across Variables," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 1-26, April.
    14. Cipollini, Andrea & Mikaliunaite, Ieva, 2020. "Macro-uncertainty and financial stress spillovers in the Eurozone," Economic Modelling, Elsevier, vol. 89(C), pages 546-558.
    15. Śmiech, Sławomir & Papież, Monika & Shahzad, Syed Jawad Hussain, 2020. "Spillover among financial, industrial and consumer uncertainties. The case of EU member states," International Review of Financial Analysis, Elsevier, vol. 70(C).
    16. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    17. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
    18. Tihana Škrinjarić & Zrinka Orlović, 2020. "Economic Policy Uncertainty and Stock Market Spillovers: Case of Selected CEE Markets," Mathematics, MDPI, vol. 8(7), pages 1-33, July.
    19. Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," Melbourne Institute Working Paper Series wp2017n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    20. Niels Gillmann & Alexander Hilgenberg, 2021. "Wie man wirtschaftliche Unsicherheit empirisch messen kann – Eine Darstellung am Beispiel von Deutschland," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 28(02), pages 24-29, April.
    21. Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2018. "The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(7), pages 705-719, November.
    22. Zied Ftiti & Fredj Jawadi, 2019. "Forecasting Inflation Uncertainty in the United States and Euro Area," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 455-476, June.
    23. Alessio Anzuini & Luca Rossi, 2021. "Fiscal policy in the US: a new measure of uncertainty and its effects on the American economy," Empirical Economics, Springer, vol. 61(5), pages 2613-2634, November.
    24. Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2018. "Macroeconomic uncertainty, growth and inflation in the Eurozone: a causal approach," Applied Economics Letters, Taylor & Francis Journals, vol. 25(14), pages 1029-1033, August.
    25. Graziano Moramarco, 2022. "Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers," Econometrics, MDPI, vol. 11(1), pages 1-29, December.
    26. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
    27. Sheen, Jeffrey & Wang, Ben Zhe, 2021. "Measuring macroeconomic disagreement – A mixed frequency approach," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 547-566.
    28. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    29. Oscar Claveria, 2021. "Disagreement on expectations: firms versus consumers," SN Business & Economics, Springer, vol. 1(12), pages 1-23, December.
    30. Svetlana Makarova, 2018. "European Central Bank Footprints On Inflation Forecast Uncertainty," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 637-652, January.
    31. Andreas Dibiasi & Samad Sarferaz, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," Post-Print hal-04167343, HAL.
    32. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    33. Goemans, Pascal, 2023. "The impact of public consumption and investment in the euro area during periods of high and normal uncertainty," Economic Modelling, Elsevier, vol. 126(C).
    34. Claveria, Oscar, 2022. "Global economic uncertainty and suicide: Worldwide evidence," Social Science & Medicine, Elsevier, vol. 305(C).
    35. Nong, Huifu, 2021. "Have cross-category spillovers of economic policy uncertainty changed during the US–China trade war?," Journal of Asian Economics, Elsevier, vol. 74(C).
    36. Kranz Tobias, 2019. "Non-Linearities and the Euler Equation: Does Uncertainty Have an Effect on the Approximation Quality?," Review of Economics, De Gruyter, vol. 70(3), pages 267-293, December.
    37. Mr. Tobias Adrian & Andrea Deghi & Mitsuru Katagiri & Mr. Sohaib Shahid & Nico Valckx, 2020. "Predicting Downside Risks to House Prices and Macro-Financial Stability," IMF Working Papers 2020/011, International Monetary Fund.
    38. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    39. Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.
    40. Oscar Claveria, 2020. "Measuring and assessing economic uncertainty," IREA Working Papers 202011, University of Barcelona, Research Institute of Applied Economics, revised Jul 2020.
    41. Angelini Giovanni & Costantini Mauro & Easaw Joshy, 2024. "Estimating uncertainty spillover effects across euro area using a regime dependent VAR model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(1), pages 39-59, February.

  7. Barbara Rossi & Tatevik Sekhposyan, 2016. "Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 507-532, April.
    See citations under working paper version above.
  8. Barbara Rossi & Tatevik Sekhposyan, 2015. "Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions," American Economic Review, American Economic Association, vol. 105(5), pages 650-655, May.
    See citations under working paper version above.
  9. Rossi, Barbara & Sekhposyan, Tatevik, 2014. "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, vol. 30(3), pages 662-682.
    See citations under working paper version above.
  10. Michael T. Owyang & Tatevik Sekhposyan & E. Katarina Vermann, 2013. "Output and unemployment: how do they relate today?," The Regional Economist, Federal Reserve Bank of St. Louis, issue October.

    Cited by:

    1. Manuel Gonzalez-Astudillo, 2017. "GDP Trend-cycle Decompositions Using State-level Data," Finance and Economics Discussion Series 2017-051, Board of Governors of the Federal Reserve System (U.S.).
    2. Ugyen Tenzin, 2019. "The Nexus Among Economic Growth, Inflation and Unemployment in Bhutan," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 20(1), pages 94-105, March.
    3. Samuel Huber & Jaehong Kim & Alessandro Marchesiani, 2019. "Unemployment and the demand for money," ECON - Working Papers 324, Department of Economics - University of Zurich.

  11. Rossi, Barbara & Sekhposyan, Tatevik, 2013. "Conditional predictive density evaluation in the presence of instabilities," Journal of Econometrics, Elsevier, vol. 177(2), pages 199-212.
    See citations under working paper version above.
  12. Michael T. Owyang & Tatevik Sekhposyan, 2012. "Okun’s law over the business cycle: was the great recession all that different?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 399-418.

    Cited by:

    1. Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2013. "Post-recession US employment through the lens of a non-linear Okun’s law," EconomiX Working Papers 2013-12, University of Paris Nanterre, EconomiX.
    2. Elva Bova & Christina Kolerus & Sampawende Tapsoba, 2015. "A fiscal job? An analysis of fiscal policy and the labor market," IZA Journal of Labor Policy, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 4(1), pages 1-17, December.
    3. Brey, Björn & Hertweck, Matthias S., 2020. "The Extension Of Short-Time Work Schemes During The Great Recession: A Story Of Success?," Macroeconomic Dynamics, Cambridge University Press, vol. 24(2), pages 360-402, March.
    4. Dixon, Robert & Lim, Guay C. & van Ours, Jan C., 2016. "Revisiting Okun's Relationship," IZA Discussion Papers 9815, Institute of Labor Economics (IZA).
    5. Koutroulis, Aristotelis & Panagopoulos, Yannis & Tsouma, Ekaterini, 2016. "Asymmetry in the response of unemployment to output changes in Greece: Evidence from hidden co-integration," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 81-88.
    6. Amy Y. Guisinger & Ruben Hernandez-Murillo & Michael T. Owyang & Tara M. Sinclair, 2015. "A State-Level Analysis of Okun's Law," Working Papers 2015-29, Federal Reserve Bank of St. Louis.
    7. Giorgio Canarella & Stephen M. Miller, 2016. "Did Okun's Law Die after the Great Recession?," Working papers 2016-10, University of Connecticut, Department of Economics.
    8. Claudia Foroni & Francesco Furlanetto, 2022. "Explaining Deviations from Okun’s Law," Working Paper 2022/4, Norges Bank.
    9. van Ours, Jan C., 2015. "The Great Recession was not so Great," CEPR Discussion Papers 10376, C.E.P.R. Discussion Papers.
    10. Albers, Scott, 2013. "Of Jane Austen and the secret life of econometric quantities, or as otherwise entitled on Okun's Law and the 'multiplicative inverse surprise'," MPRA Paper 44594, University Library of Munich, Germany.
    11. Tiwari, Smriti, 2021. "Do macroeconomic fluctuations at destination matter in determining migrants’ return decisions?," World Development, Elsevier, vol. 148(C).
    12. Klinger, Sabine & Weber, Enzo, 2016. "Detecting unemployment hysteresis: A simultaneous unobserved components model with Markov switching," Economics Letters, Elsevier, vol. 144(C), pages 115-118.
    13. Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
    14. Costas Karfakis & Konstantinos Katrakilidis & Eftychia Tsanana, 2013. "Does Output Predict Unemployment? A Look at Okun’s Law in Greece," Discussion Paper Series 2013_01, Department of Economics, University of Macedonia, revised Dec 2013.
    15. Karlsson, Sune & Österholm, Pär, 2020. "A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States," Economics Letters, Elsevier, vol. 197(C).
    16. Durech, Richard & Minea, Alexandru & Mustea, Lavinia & Slusna, Lubica, 2014. "Regional evidence on Okun's Law in Czech Republic and Slovakia," Economic Modelling, Elsevier, vol. 42(C), pages 57-65.
    17. Mr. Salvatore Dell'Erba & Mr. Marcos Poplawski Ribeiro & Ksenia Koloskova, 2014. "Medium-Term Fiscal Multipliers during Protracted Recessions," IMF Working Papers 2014/213, International Monetary Fund.
    18. Eduardo Loría & Emmanuel Salas, 2014. "A Nonlinear Relationship: Unemployment and Economic Growth (Construction Sector) in Spain, 1995.1–2012.2," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(4), pages 439-453, November.
    19. Tino Berger & Gerdie Everaert & Hauke Vierke, 2015. "Testing for time variation in an unobserved components model for the U.S. economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/903, Ghent University, Faculty of Economics and Business Administration.
    20. Ryan Herzog, 2013. "Using state level employment thresholds to explain Okun’s Law," IZA Journal of Labor Policy, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 2(1), pages 1-26, December.
    21. Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2014. "Explaining US employment growth after the Great Recession: the role of output-employment non-linearities," Post-Print hal-01385949, HAL.
    22. Donayre, Luiggi, 2022. "On the behavior of Okun's law across business cycles," Economic Modelling, Elsevier, vol. 112(C).
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    24. Rui M. Pereira, 2013. "Okun's Law across the Business Cycle and during the Great Recession: A Markov Switching Analysis," Working Papers 139, Department of Economics, College of William and Mary.
    25. Rui Pereira, 2014. "Okun’s law, asymmetries and regional spillovers: evidence from Virginia metropolitan statistical areas and the District of Columbia," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 52(2), pages 583-595, March.
    26. van Ours, Jan C., 2015. "The Great Recession was not so great," Labour Economics, Elsevier, vol. 34(C), pages 1-12.
    27. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2020. "Okun’s Law across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    28. Roger Perman & Stephan Gaetan & Christophe Tavera, 2013. "Okun's law - a meta analysis," Working Papers 1311, University of Strathclyde Business School, Department of Economics.
    29. van Ours, J.C., 2015. "The Great Recession was not so Great," Discussion Paper 2015-006, Tilburg University, Center for Economic Research.
    30. Ryan W Herzog, 2013. "An Analysis of Okun's Law, the Natural Rate, and Voting Preferences for the 50 States," Economics Bulletin, AccessEcon, vol. 33(4), pages 2504-2517.
    31. Valadkhani, Abbas & Smyth, Russell, 2015. "Switching and asymmetric behaviour of the Okun coefficient in the US: Evidence for the 1948–2015 period," Economic Modelling, Elsevier, vol. 50(C), pages 281-290.
    32. Jan Bruha & Jiri Polansky, 2015. "Empirical Analysis of Labor Markets over Business Cycles: An International Comparison," Working Papers 2015/15, Czech National Bank.
    33. Albers, Scott & Albers, Andrew L., 2013. "Does “Okun’s Law” state a Pi:1 ratio? Toward a harmonic interpretation of why Okun’s Law works," MPRA Paper 44843, University Library of Munich, Germany.
    34. Anderton, Robert & Aranki, Ted & Bonthuis, Boele & Jarvis, Valerie, 2014. "Disaggregating Okun's law: decomposing the impact of the expenditure components of GDP on euro area unemployment," Working Paper Series 1747, European Central Bank.
    35. Luz A. Flórez & Karen L. Pulido-Mahecha & Mario A. Ramos-Veloza, 2018. "Okun´s law in Colombia: a non-linear cointegration," Borradores de Economia 1039, Banco de la Republica de Colombia.
    36. Albers, Scott, 2013. "Okun’s Law as a Pi-to-1 ratio: A harmonic / trigonometric theory as to why Okun’s Law works," MPRA Paper 46633, University Library of Munich, Germany.
    37. Adama Zerbo, 2017. "Croissance économique et chômage : les fondements de la loi d'Okun et le modèle IS-LM-LO," Documents de travail 176, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV.
    38. Klinger, Sabine & Weber, Enzo, 2015. "GDP-Employment Decoupling and the Productivity Puzzle in Germany," University of Regensburg Working Papers in Business, Economics and Management Information Systems 485, University of Regensburg, Department of Economics.
    39. Laurence M. Ball & Daniel Leigh & Prakash Loungani, 2013. "Okun's Law: Fit at Fifty?," NBER Working Papers 18668, National Bureau of Economic Research, Inc.
    40. Celia Melguizo, 2015. "An analysis of Okun?s law for the Spanish provinces," ERSA conference papers ersa15p1558, European Regional Science Association.
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    42. Milen Velev, 2018. "Unemployment and economic growth: Is there a relationship in the European Union?," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2018(4), pages 12-29.
    43. Dell'Erba, Salvatore & Koloskova, Ksenia & Poplawski-Ribeiro, Marcos, 2018. "Medium-term fiscal multipliers during protracted economic contractions," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 35-52.
    44. Nebot, César & Beyaert, Arielle & García-Solanes, José, 2019. "New insights into the nonlinearity of Okun's law," Economic Modelling, Elsevier, vol. 82(C), pages 202-210.
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    47. Ana Michaela ANDREI, 2014. "Using asymmetric Okun law and Phillips curve for potential output estimates: an empirical study for Romania," REVISTA ADMINISTRATIE SI MANAGEMENT PUBLIC, Faculty of Administration and Public Management, Academy of Economic Studies, Bucharest, Romania, vol. 2014(23), pages 6-18, December.
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    See citations under working paper version above.
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    See citations under working paper version above.
  15. Rossi, Barbara & Sekhposyan, Tatevik, 2010. "Have economic models' forecasting performance for US output growth and inflation changed over time, and when?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 808-835, October.

    Cited by:

    1. Gogas, Periklis & Papadimitriou, Theophilos & Plakandaras, Vasilios & Gupta, Rangan, 2019. "The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach," DUTH Research Papers in Economics 3-2016, Democritus University of Thrace, Department of Economics.
    2. Barnett, William & Park, Sohee, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," MPRA Paper 110298, University Library of Munich, Germany.
    3. Li, You & Tay, Anthony, 2021. "The role of macroeconomic and policy uncertainty in density forecast dispersion," Journal of Macroeconomics, Elsevier, vol. 67(C).
    4. David I. Harvey & Stephen J. Leybourne & Yang Zu, 2024. "Tests for equal forecast accuracy under heteroskedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 850-869, August.
    5. Granziera, Eleonora & Sekhposyan, Tatevik, 2019. "Predicting relative forecasting performance: An empirical investigation," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
    6. Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    7. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    8. Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
    9. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
    10. Carlos Barros & Luis Gil-Alana, 2012. "Inflation forecasting in Angola: a fractional approach," CEsA Working Papers 103, CEsA - Centre for African and Development Studies.
    11. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
    12. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    13. Ayse Dur & Enrique Martínez García, 2020. "Mind the Gap!—A Monetarist View of the Open-Economy Phillips Curve," Globalization Institute Working Papers 392, Federal Reserve Bank of Dallas.
    14. Barbara Rossi, 2011. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 25-29, August.
    15. Meyler, Aidan & Grothe, Magdalena, 2015. "Inflation forecasts: Are market-based and survey-based measures informative?," Working Paper Series 1865, European Central Bank.
    16. Bordo, Michael D. & Haubrich, Joseph G., 2022. "Some international evidence on the causal impact of the yield curve," Finance Research Letters, Elsevier, vol. 45(C).
    17. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
    18. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    19. Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2011. "Predictive ability of business cycle indicators under test: A case study for the Euro area industrial production," Munich Reprints in Economics 19953, University of Munich, Department of Economics.
    20. Barbara Rossi & Tatevik Sekhposyan, 2013. "Evaluating predictive densities of U.S. output growth and inflation in a large macroeconomic data set," Economics Working Papers 1370, Department of Economics and Business, Universitat Pompeu Fabra.
    21. Rodrigo Sekkel, 2014. "Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?," Staff Working Papers 14-40, Bank of Canada.
    22. Benjamin Beckers & Konstantin A. Kholodilin & Dirk Ulbricht, 2017. "Reading between the Lines: Using Media to Improve German Inflation Forecasts," Discussion Papers of DIW Berlin 1665, DIW Berlin, German Institute for Economic Research.
    23. Anna Florio, 2016. "The central bank as shaper and observer of events: The case of the yield spread," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(1), pages 320-346, February.
    24. Jari Hännikäinen, 2014. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Working Papers 1495, Tampere University, Faculty of Management and Business, Economics.
    25. Brave, Scott A. & Butters, R. Andrew & Justiniano, Alejandro, 2019. "Forecasting economic activity with mixed frequency BVARs," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1692-1707.
    26. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    27. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
    28. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    29. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
    30. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
    31. Plakandaras, Vasilios & Gogas, Periklis & Papadimitriou, Theophilos & Gupta, Rangan, 2019. "A re-evaluation of the term spread as a leading indicator," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 476-492.
    32. N. Kundan Kishor & Evan F. Koenig, 2022. "Finding a Role for Slack in Real-Time Inflation Forecasting," International Journal of Central Banking, International Journal of Central Banking, vol. 18(2), pages 245-282, June.
    33. Martinez-Martin Jaime & Morris Richard & Onorante Luca & Piersanti Fabio Massimo, 2024. "Merging Structural and Reduced-Form Models for Forecasting," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 399-437, January.
    34. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    35. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Rangan Gupta, 2016. "The Term Premium as a Leading Macroeconomic Indicator," Working Papers 201613, University of Pretoria, Department of Economics.
    36. Marta Crispino & Vincenzo Mariani, 2023. "A tool to nowcast tourist overnight stays with payment data and complementary indicators," Questioni di Economia e Finanza (Occasional Papers) 746, Bank of Italy, Economic Research and International Relations Area.
    37. Denis Shibitov & Mariam Mamedli, 2021. "Forecasting Russian Cpi With Data Vintages And Machine Learning Techniques," Bank of Russia Working Paper Series wps70, Bank of Russia.
    38. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    39. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    40. Burgess, Matthew G. & Langendorf, Ryan E. & Ippolito, Tara & Pielke, Roger Jr, 2020. "Optimistically biased economic growth forecasts and negatively skewed annual variation," SocArXiv vndqr, Center for Open Science.
    41. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    42. Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.
    43. Bel, Koen & Paap, Richard, 2016. "Modeling the impact of forecast-based regime switches on US inflation," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1306-1316.
    44. Fossati, Sebastian, 2017. "Testing for State-Dependent Predictive Ability," Working Papers 2017-9, University of Alberta, Department of Economics.
    45. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    46. Stephen McKnight & Alexander Mihailov & Fabio Rumler, 2018. "NKPC-Based Inflation Forecasts with a Time-Varying Trend," Serie documentos de trabajo del Centro de Estudios Económicos 2018-05, El Colegio de México, Centro de Estudios Económicos.
    47. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
    48. Kihwan Kim & Hyun Hak Kim & Norman R. Swanson, 2023. "Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008," Empirical Economics, Springer, vol. 64(3), pages 1421-1469, March.
    49. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
    50. Martínez-Martin, Jaime & Morris, Richard & Onorante, Luca & Piersanti, Fabio M., 2019. "Merging structural and reduced-form models for forecasting: opening the DSGE-VAR box," Working Paper Series 2335, European Central Bank.
    51. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
    52. Jari Hännikäinen, 2015. "Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 47-54, September.
    53. Harun Özkan & M. Yazgan, 2015. "Is forecasting inflation easier under inflation targeting?," Empirical Economics, Springer, vol. 48(2), pages 609-626, March.

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