Details

Autor(en) / Beteiligte

• Elliott, Graham
• Timmermann, Allan

Titel

Handbook of Economic Forecasting : volume 2, part A [Elektronische Ressource]

Ort / Verlag

Burlington : Elsevier Science

Erscheinungsjahr

2013

Link zum Volltext

• Elsevier Handbooks in Economics Series (ZDB-1-HBE)

Beschreibungen/Notizen

• Description based upon print version of record
• 2.3 Judgmental Forecast: Blue Chip Economic Indicators
• 2.7.4 Heavy Shrinkage in the Use of Information Improves Inflation Forecasts2.8 Inflation Forecasts and the Financial Crisis; 2.9 How Different are the Better Model Forecasts?; 2.10 A Comment on the DSGE Model Forecasts; 2.11 The Phillips Curve; 2.12 Conditional Forecast Comparisons; 2.13 Time-Varying Predictability; 2.14 Alternative Measures of Forecast Quality; 3 Market-Based Measures of the Inflation Outlook; 3.1 New Inflation Derivatives; 4 Other Topics; 4.1 Density Forecasts; 4.2 Forecasting Aggregates or Disaggregates?; 4.3 Using Core Forecasts as Headline Forecasts
• 4.4 Alternative Inflation Measures5 International Inflation Forecasts; 6 Conclusions; Acknowledgments; References; 2 DSGE Model-Based Forecasting; 1 Introduction; 2 The DSGE Models; 2.1 The Smets-Wouters Model; 2.2 A Medium-Scale Model with Financial Frictions; 2.3 A Small-Scale DSGE Model; 3 Generating Forecasts with DSGE Models; 3.1 Posterior Inference for θ; 3.2 Evaluating the Predictive Distribution; 4 Accuracy of Point Forecasts; 4.1 A Real-Time Data Set for Forecast Evaluation; 4.2 Forecasts from the Small-Scale Model; 4.3 Forecasts from the Smets-Wouters Model
• 4.4 Literature Review of Forecasting Performance5 DSGE Model Forecasts Using External Information; 5.1 Incorporating Long-Run Inflation Expectations; 5.2 Incorporating Output Expectations; 5.3 Conditioning on External Nowcasts; 5.4 Incorporating Interest Rate Expectations; 6 Forecasts Conditional on Interest Rate Paths; 6.1 The Effects of Monetary Policy Shocks; 6.2 Using Unanticipated Shocks to Condition on Interest Rates; 6.3 Using Anticipated Shocks to Condition on Interest Rates; 6.4 Forecasting Conditional on an Interest Rate Path: An Empirical Illustration
• 7 Moving Beyond Point Forecasts7.1 Shock Decompositions; 7.2 Real-Time DSGE Density Forecasts During the Great Recession: A Post-Mortem; 7.3 Calibration of Density Forecasts; 8 Outlook; 8.1 Non-linear and Non-Gaussian Features in DSGE Models; 8.2 Beyond Forecasting with a Single DSGE Model; 8.3 Future Challenges; Appendix A. Details for Figure 2.5; Acknowledgments; References; 3 Forecasting Output; 1 Introduction; 1.1 Background; 1.2 A Brief History and Survey of Recent Literature; 1.3 Chapter Plan; 2 Forecasting Models; 2.1 Benchmark Univariate Linear AR Model; 2.2 Current Depth of Recession
• Half Title; Title Page; Copyright; Dedication; Contents; Introduction to the Series; Contributors; Section I Macro Forecasting; 1 Forecasting Inflation; 1 Introduction; 2 Approach for Our General Review; 2.1 A Triply Great Sample and its Problems; 2.2 Measures of Inflation; 2.3 Metrics and Inference; 2.4 Forecasts; 2.5 A Roundup of Forecasting Models; 2.6 Results of the Forecast Comparison Exercise; 2.7 Four Principles; 2.7.1 Subjective Forecasts Do Best; 2.7.2 Good Forecasts Must Account for a Slowly Varying Local Mean; 2.7.3 The Nowcast
• The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics.  In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects.  Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables.  Volume 2B investigates commercial a
• Online edition