Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153601 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
ECB Working Paper No. 1167
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the na¨ıve random walk model. These results are also shown to hold over the most recent period in which it has been hard to forecast inflation.
Schlagwörter: 
forecasting
inflation
stochastic volatility
Time Varying Vector Autoregression
JEL: 
C32
E37
E47
Dokumentart: 
Working Paper

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