Przeglądaj według tematu "forecasting"
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Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties
(2016-12)In this paper we estimate a Smets and Wouters (2007) model with shocks following a closed skew normal distribution (csn) introduced in Gonzalez-Farias et al. (2004), which nests a normal distribution as a special case. In ... -
Does foreign sector help forecast domestic variables in DSGE models?
(2016-12)This paper evaluates the forecasting performance of several small open economy DSGE models relative to a closed economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We find that opening ... -
One model or many? Exchange rates determinants and their predictive capabilities
(2020-07)In this paper the Dynamic Bayesian Model Averaging (DMA) algorithm is used to establish the key determinants of the nominal exchange rates of 5 currencies: CAD, EUR, GBP, CHF and JPY against the US dollar. My results ...