C53 - Forecasting and Prediction Methods; Simulation Methods
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Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit
Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. -
A Structural VAR Approach to Core Inflation in Canada
The author constructs a measure of core inflation using a structural vector autoregression containing oil-price growth, output growth, and inflation. This "macro-founded" measure of inflation forecasts total inflation at least as well as other, atheoretical measures. -
Estimation and Inference by the Method of Projection Minimum Distance
A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters. -
Multivariate Realized Stock Market Volatility
We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. -
How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables. -
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. -
Using Monthly Indicators to Predict Quarterly GDP
The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. -
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices
The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation. -
Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies
The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel.