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Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty
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Cited by:
- Buncic, Daniel & Müller, Oliver, 2017. "Measuring the output gap in Switzerland with linear opinion pools," Economic Modelling, Elsevier, vol. 64(C), pages 153-171.
- Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012.
"Nowcasting German GDP: A comparison of bridge and factor models,"
Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
- Antipa, P. & Barhoumi, K. & Brunhes-Lesage, V. & Darné, O., 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Working papers 401, Banque de France.
- Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series 65_12, Rimini Centre for Economic Analysis.
- Chris McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016.
"Assessing the economic value of probabilistic forecasts in the presence of an inflation target,"
Reserve Bank of New Zealand Discussion Paper Series
DP2016/10, Reserve Bank of New Zealand.
- Christopher McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the economic value of probabilistic forecasts in the presence of an inflation target," CAMA Working Papers 2016-40, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2010.
"International evidence on the efficacy of new-Keynesian models of inflation persistence,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 31-54.
- Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2010. "International evidence on the efficacy of new‐Keynesian models of inflation persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 31-54, January.
- Norman Swanson & Oleg Korenok & Stanislav Radchenko, 2006. "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Departmental Working Papers 200617, Rutgers University, Department of Economics.
- Norman R. Swanson & Oleg Korenok & Stanislav Radchenko, 2011. "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Departmental Working Papers 201104, Rutgers University, Department of Economics.
- Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2006. "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Working Papers 0602, VCU School of Business, Department of Economics.
- Andres Fernandez & Norman R. Swanson, 2009.
"Real-time datasets really do make a difference: definitional change, data release, and forecasting,"
Working Papers
09-28, Federal Reserve Bank of Philadelphia.
- Norman R. Swanson & Andres Fernandez, 2011. "Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting," Departmental Working Papers 201113, Rutgers University, Department of Economics.
- Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009.
"Pooling versus model selection for nowcasting with many predictors: An application to German GDP,"
CEPR Discussion Papers
7197, C.E.P.R. Discussion Papers.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute.
- Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank.
- Ratti, Ronald A. & Vespignani, Joaquin L., 2015.
"Commodity prices and BRIC and G3 liquidity: A SFAVEC approach,"
Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
- Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," MPRA Paper 49324, University Library of Munich, Germany.
- Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," CAMA Working Papers 2014-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Commodity Prices and BRIC and G3 Liquidity: A SFAVEC Approach," Working Papers 17096, University of Tasmania, Tasmanian School of Business and Economics, revised 09 Jan 2013.
- Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009.
"A naïve sticky information model of households' inflation expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1332-1344, June.
- Lanne, Markku & Luoma, Arto & Luoto, Jani, 2008. "A Naïve Sticky Information Model of Households’ Inflation Expectations," MPRA Paper 8663, University Library of Munich, Germany.
- David Cobham, 2012.
"The past, present, and future of central banking,"
Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 28(4), pages 729-749, WINTER.
- David Cobham, 2012. "The past, present and future of central banking," Heriot-Watt University Economics Discussion Papers 1205, Department of Economics, School of Management and Languages, Heriot Watt University.
- Cobham, David, 2012. "The past, present and future of central banking," SIRE Discussion Papers 2012-50, Scottish Institute for Research in Economics (SIRE).
- Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011.
"Combining VAR and DSGE forecast densities,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
- Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.
- Robert J. Tetlow, 2015.
"Real-Time Model Uncertainty in the United States: "Robust" Policies Put to the Test,"
International Journal of Central Banking, International Journal of Central Banking, vol. 11(2), pages 113-155, March.
- Robert J. Tetlow, 2010. "Real-time model uncertainty in the United States: 'Robust' policies put to the test," Finance and Economics Discussion Series 2010-15, Board of Governors of the Federal Reserve System (U.S.).
- Ratti, Ronald A. & Vespignani, Joaquin L., 2016.
"Oil prices and global factor macroeconomic variables,"
Energy Economics, Elsevier, vol. 59(C), pages 198-212.
- Ratti, Ronald & Vespignani, Joaquin, 2015. "Oil prices and global factor macroeconomic variables," Working Papers 2015-08, University of Tasmania, Tasmanian School of Business and Economics.
- Alex Nikolsko-Rzhevskyy, 2011.
"Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, August.
- Alex Nikolsko‐Rzhevskyy, 2011. "Monetary Policy Estimation in Real Time: Forward‐Looking Taylor Rules without Forward‐Looking Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, August.
- Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009.
"Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
- Anthony Garratt & Gary Koop & Emi Mise & Shaun P Vahey, 2007. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0714, Birkbeck, Department of Economics, Mathematics & Statistics.
- Anthony Garratt & Gary Koop & Emi Mise & Shaun Vahey, 2008. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2008/13, Reserve Bank of New Zealand.
- Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013.
"Inflation fan charts, monetary policy and skew normal distribution,"
Discussion Papers in Economics
13/06, Division of Economics, School of Business, University of Leicester.
- Wojciech Charemza & Carlos Diaz & Svetlana Makarova, 2014. "Term Structure Of Inflation Forecast Uncertainties And Skew Normal Distributions," Discussion Papers in Economics 14/01, Division of Economics, School of Business, University of Leicester.
- Wojciech Charemza & Carlos Díaz & Svetlana Makarova, 2015. "Ex-post Inflation Forecast Uncertainty and Skew Normal Distribution: ‘Back from the Future’ Approach," Discussion Papers in Economics 15/09, Division of Economics, School of Business, University of Leicester.
- Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010.
"Combining forecast densities from VARs with uncertain instabilities,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
- Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008. "Combining forecast densities from VARs with uncertain instabilities," Working Paper 2008/01, Norges Bank.
- Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
- Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
- Timmermann, Allan, 2006.
"Forecast Combinations,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196,
Elsevier.
- Timmermann, Allan, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
- Aiolfi Marco & Capistrán Carlos & Timmermann Allan, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, Department of Economics and Business Economics, Aarhus University.
- Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014.
"Measuring output gap nowcast uncertainty,"
International Journal of Forecasting, Elsevier, vol. 30(2), pages 268-279.
- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
- Koop, Gary & Korobilis, Dimitris, 2014.
"A new index of financial conditions,"
European Economic Review, Elsevier, vol. 71(C), pages 101-116.
- Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
- Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
- Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
- Dean Croushore, 2011.
"Frontiers of Real-Time Data Analysis,"
Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
- Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
- Vespignani, Joaquin L. & Ratti, Ronald A., 2016.
"Not all international monetary shocks are alike for the Japanese economy,"
Economic Modelling, Elsevier, vol. 52(PB), pages 822-837.
- Vespignani, Joaquin L. & Ratti, Ronald A., 2013. "Not all international monetary shocks are alike for the Japanese economy," Working Papers 16920, University of Tasmania, Tasmanian School of Business and Economics, revised 05 Aug 2013.
- Vespignani, Joaquin L. & Ratti, Ronald A., 2013. "Not all international monetary shocks are alike for the Japanese economy," MPRA Paper 48709, University Library of Munich, Germany.
- Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Not all international monetary shocks are alike for the Japanese economy," CAMA Working Papers 2014-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Schumacher, Christian, 2010.
"Factor forecasting using international targeted predictors: The case of German GDP,"
Economics Letters, Elsevier, vol. 107(2), pages 95-98, May.
- Schumacher, Christian, 2009. "Factor forecasting using international targeted predictors: the case of German GDP," Discussion Paper Series 1: Economic Studies 2009,10, Deutsche Bundesbank.
- Jiang, Lei, 2014. "Stock liquidity and the Taylor rule," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 202-214.
- Dimitris Korobilis, 2013.
"Var Forecasting Using Bayesian Variable Selection,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
- Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
- KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper series 51_10, Rimini Centre for Economic Analysis, revised Apr 2011.
- Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
- Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011.
"Real-time inflation forecast densities from ensemble Phillips curves,"
The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
- Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," Birkbeck Working Papers in Economics and Finance 0910, Birkbeck, Department of Economics, Mathematics & Statistics.
- Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dimitris Korobilis, 2018.
"Machine Learning Macroeconometrics: A Primer,"
Working Paper series
18-30, Rimini Centre for Economic Analysis.
- Korobilis, Dimitris, 2018. "Machine Learning Macroeconometrics A Primer," Essex Finance Centre Working Papers 22666, University of Essex, Essex Business School.
- Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
- Lahura, Erick, 2017.
"Monetary Aggregates and Monetary Policy in Peru,"
Working Papers
2017-003, Banco Central de Reserva del Perú.
- Erick Lahura, 2017. "Monetary Aggregates and Monetary Policy in Peru," BCAM Working Papers 1704, Birkbeck Centre for Applied Macroeconomics.
- Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
- Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
- Chang, Ming-Jen & Matsuki, Takashi, 2022. "Exchange rate forecasting with real-time data: Evidence from Western offshoots," Research in International Business and Finance, Elsevier, vol. 59(C).
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- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009.
"Measuring Output Gap Uncertainty,"
Birkbeck Working Papers in Economics and Finance
0909, Birkbeck, Department of Economics, Mathematics & Statistics.
- Dr. James Mitchell, 2009. "Measuring Output Gap Uncertainty," National Institute of Economic and Social Research (NIESR) Discussion Papers 342, National Institute of Economic and Social Research.
- Garratt, Anthony & Vahey, Shaun & Mitchell, James, 2010. "Measuring Output Gap Uncertainty," CEPR Discussion Papers 7742, C.E.P.R. Discussion Papers.
- Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring output gap uncertainty," Reserve Bank of New Zealand Discussion Paper Series DP2009/15, Reserve Bank of New Zealand.
- David Cobham, 2011.
"From Bretton Woods to Inflation Targeting: Financial Change and Monetary Policy Evolution in Europe,"
Palgrave Macmillan Books, in: Mongi Boughzala & David Cobham (ed.), Inflation Targeting in MENA Countries, chapter 7, pages 171-192,
Palgrave Macmillan.
- Cobham, David, 2010. "From Bretton Woods to inflation targeting: financial change and monetary policy evolution in Europe," SIRE Discussion Papers 2012-44, Scottish Institute for Research in Economics (SIRE).
- David Cobham, 2012. "From Bretton Woods to inflation targeting: financial change and monetary policy evolution in Europe," Heriot-Watt University Economics Discussion Papers 1203, Department of Economics, School of Management and Languages, Heriot Watt University.
- Khiabani, Nasser, 2015. "Oil inflows and housing market fluctuations in an oil-exporting country: Evidence from Iran," Journal of Housing Economics, Elsevier, vol. 30(C), pages 59-76.
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- 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.
- Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
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- Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014. "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 210-229.
- Khiabani, Nasser, 2010. "How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran," MPRA Paper 34041, University Library of Munich, Germany, revised 01 Mar 2011.
- Bo Zhang, 2019. "Real‐time inflation forecast combination for time‐varying coefficient models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(3), pages 175-191, April.
- Kevin Lee & Nilss Olekalns & Kalvinder Shields & Zheng Wang, 2012.
"Australian Real-Time Database: An Overview and an Illustration of its Use in Business Cycle Analysis,"
The Economic Record, The Economic Society of Australia, vol. 88(283), pages 495-516, December.
- Kevin Lee, Nilss Olekalns, Kalvinder Shields and Zheng Wang, 2011. "The Australian Real?Time Datbase: An Overview and an Illustration of its Use in Business Cycle Analysis," Department of Economics - Working Papers Series 1132, The University of Melbourne.
- Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.