Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

A time varying parameter structural model of the UK economy. (2017). Waldron, Matt ; Masolo, Riccardo M. ; Kapetanios, George ; Petrova, Katerina.
In: Bank of England working papers.
RePEc:boe:boeewp:0677.

Full description at Econpapers || Download paper

Cited: 5

Citations received by this document

Cites: 37

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment. (2021). Pierdzioch, Christian ; GUPTA, RANGAN.
    In: Energies.
    RePEc:gam:jeners:v:14:y:2021:i:23:p:8085-:d:693917.

    Full description at Econpapers || Download paper

  2. High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction?. (2020). Tan, Fei ; Shin, Minchul ; Chib, Siddhartha.
    In: Working Papers.
    RePEc:fip:fedpwp:88714.

    Full description at Econpapers || Download paper

  3. Decisions in Designing an Australian Macroeconomic Model. (2020). Murphy, Chris.
    In: The Economic Record.
    RePEc:bla:ecorec:v:96:y:2020:i:314:p:252-270.

    Full description at Econpapers || Download paper

  4. Forecasting the UK economy: Alternative forecasting methodologies and the role of off-model information. (2019). Masolo, Riccardo M. ; Waldron, Matt ; Fawcett, Nicholas ; Boneva, Lena.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:1:p:100-120.

    Full description at Econpapers || Download paper

  5. Market power and monetary policy. (2019). Schneider, Patrick ; Masolo, Riccardo M. ; HALDANE, ANDREW ; Aquilante, Tommaso ; Tatomir, Srdan ; Seneca, Martin ; Dacic, Nikola ; Chowla, Shiv .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0798.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adolfson, M., Andersson, M., Linde, J., Villani, M. and Vredin, A. (2007). Modern forecasting models in action: Improving macroeconomic analyses at Central Banks, International Journal of Central Banking 3(4): 111ñ144.

  2. Ascari, G. and Sbordone, A. M. (2014). The macroeconomics of trend ináation., Journal of Economic Literature 52(3): 679 ñ 739.
    Paper not yet in RePEc: Add citation now
  3. Benati, L. and Surico, P. (2009). VAR analysis and the Great Moderation, American Economic Review 99(4): 1636ñ1652.

  4. Bianchi, F. (2013). Regime Switches, Agentsí Beliefs, and Post-World War II U.S. Macroeconomic Dynamics, Review of Economic Studies 80: 463ñ490.

  5. Blanchard, O. J. and Kahn, C. M. (1980). The solution of linear dierence models under rational expectations, Econometica 48(5): 1305ñ1312.
    Paper not yet in RePEc: Add citation now
  6. Boivin, J. and Giannoni, M. (2006). Has monetary policy become more eective?, Review of Economics and Statistics 88(3): 445ñ462.

  7. Burgess, S., Fernandez-Corugedo, E., Groth, C., Harrison, R., Monti, F., Theodoridis, K. and Waldron, M. (2013). The Bank of Englandís forecasting platform: COMPASS, MAPS, EASE and the suite of models, Bank of England Working Paper Series, No471 .

  8. Canova, F. (2006). Monetary policy and the evolution of the US economy, CEPR Discussion Papers 5467 .

  9. Canova, F. and Gambetti, L. (2009). Structural changes in the US economy: Is there a role for monetary policy, Journal of Economic Dynamics and Control 33(2): 477ñ490.

  10. Canova, F. and Sala, L. (2009). Back to square one: Identifcation issues in DSGE models, Journal of Monetary Economics 56(4): 431ñ449.

  11. Castelnuovo, E. (2012). Estimating the evolution of moneyís role in the U.S. monetary business cycle, Journal of Money, Credit and Banking 44(1): 23ñ52.

  12. Cogley, T. and Sargent, T. J. (2009). Anticipated utility and rational expectations as approximations of Bayesian decision making, International Economic Review 49: 185ñ221.
    Paper not yet in RePEc: Add citation now
  13. Cogley, T. and Sbordone, A. M. (2008). Trend ináation, indexation, and ináation persistence in the new Keynesian Phillips curve, American Economic Review 95(5): 2101ñ2126.
    Paper not yet in RePEc: Add citation now
  14. DiCecio, R. and Nelson, E. (2009). The Great Ináation in the United States and the United Kingdom: Reconciling Policy Decisions and Data Outcomes, NBER Working Papers 14895, National Bureau of Economic Research, Inc.

  15. Diebold, F. X. and Mariano, R. S. (1995). Comparing predictive accuracy, Journal of Business and Economic Statistics 13: 253ñ263.

  16. Ellis, C., Mumtaz, H. and Zabczyk, P. (2014). What lies beneath? a time-varying favar model for the uk transmission mechanism, The Economic Journal 124(576): 668ñ699.

  17. Erceg, C. J., Henderson, D. W. and Levin, A. T. (2000). Optimal monetary policy with staggered wage and price contracts, Journal of Monetary Economics 46(2): 281ñ313.

  18. Fawcett, N., Koerber, L., Masolo, R. and Waldron, W. (2015). Evaluating UK point and density forecasts from an estimated DSGE model: the role of o-model information over the Önancial crisis, Bank of England Working Paper Series, No538 .

  19. Fernandez-Villaverde, J. and Rubio-Ramirez, J. F. (2008). How structural are the structural parameters, in K. R. D. Acemoglu and M. Woodford (eds), NBER Macroeconomics Annual 2007, Vol. 22, Chicago: University of Chicago Press.

  20. Foerster, A. T., Rubio-Ramirez, J. F., Waggoner, D. F. and Zha, T. A. (2014). Perturbation methods for Markov-switching DSGE models, NBER Working Paper 258 .

  21. Gali, J. and Gambetti, L. (2009). On the sources of the Great Moderation, American Economic Journal 1(1): 26ñ57.

  22. Galv„o, A. B., Giraitis, L., Kapetanios, G. and Petrova, K. (2016). A time varying DSGE model with Önancial frictions, Journal of Empirical Finance 38: 690ñ716.

  23. Galv„o, A. B., Giraitis, L., Kapetanios, G. and Petrova, K. (2017). A quasi-Bayesian local likelihood method for medelling parameter time variation in DSGE models, Working Paper .
    Paper not yet in RePEc: Add citation now
  24. Giraitis, L., Kapetanios, G. and Yates, T. (2014). Inference on stochastic time-varying coecient models, Journal of Econometrics 179(1): 46ñ65.
    Paper not yet in RePEc: Add citation now
  25. Giraitis, L., Kapetanios, G., Wetherilt, A. and Zikes, F. (2016). Estimating the dynamics and persistence of Önancial networks, with an application to the Sterling money market, Journal of Applied Econometrics 31(1): 58ñ84.

  26. Harrison, R. and Oomen, q. (2010). Evaluating and estimating a DSGE model for the United Kingdom, Bank of England working papers 380, Bank of England.

  27. Johannes, M., Lochstoer, L. and Mou, Y. (2016). Learning about consumption dynamics, Journal of Finance 71(2): 551ñ600.

  28. Justiniano, A. and Primiceri, G. E. (2008). The time-varying volatility of macroeconomic áuctuations, American Economic Review 98(3): 604ñ641.
    Paper not yet in RePEc: Add citation now
  29. Kreps, D. (1998). Anticipated utility and dynamic choice, Frontiers of Research in Economic Theory, Cambridge University Press pp. 242ñ274.
    Paper not yet in RePEc: Add citation now
  30. Mumtaz, H. and Surico, P. (2009). Time-varying yield curve dynamics and monetary policy, Journal of Applied Econometrics 24(6): 895ñ913.

  31. Petrova, K. (2017). A quasi-bayesian local likelihood approach to time varying parameter VAR models, Working Paper .
    Paper not yet in RePEc: Add citation now
  32. Primiceri, G. (2005). Time-varying structural vector autoregressions and monetary policy, Review of Economic Studies 72(3): 821ñ852.

  33. Roberts, G., Gelman, A. and Gilks, W. (1997). Weak convergence and optimal scaling of random walk metropolis algorithms, The Annals of Applied Probability 7(1): 110ñ120.
    Paper not yet in RePEc: Add citation now
  34. Rotemberg, J. (1982). Monopolistic price adjustment and aggregate output, Review of Economic Studies 49(4): 517ñ531.

  35. Schorfheide, F. (2005). Learning and monetary policy shifts, Review of Economic Dynamics 8(2): 392ñ419.

  36. Sims, C. (2002). Solving linear rational expectations models, Computational Economics 20(1-2): 1ñ20.

  37. Smets, F. and Wouters, R. (2007). Shocks and frictions in US business cycles: A Bayesian DSGE approach, American Economic Review 97(3): 586ñ606.

Cocites

Documents in RePEc which have cited the same bibliography

  1. How the baby boomers retirement wave distorts model-based output gap estimates. (2016). Wolters, Maik.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:2031.

    Full description at Econpapers || Download paper

  2. Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank. (2016). Laséen, Stefan ; Iversen, Jens ; Soderstrom, Ulf ; Lundvall, Henrik ; Laseen, Stefan .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0318.

    Full description at Econpapers || Download paper

  3. Assessing the economic value of probabilistic forecasts in the presence of an inflation target. (2016). Wakerly, Elizabeth ; Vahey, Shaun ; Thamotheram, Craig ; McDonald, Christopher .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2016-40.

    Full description at Econpapers || Download paper

  4. Nowcasting Czech GDP in real time. (2016). Rusnák, Marek ; Rusnak, Marek .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:26-39.

    Full description at Econpapers || Download paper

  5. Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank. (2016). Laséen, Stefan ; Iversen, Jens ; Soderstrom, Ulf ; Lundvall, Henrik .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11203.

    Full description at Econpapers || Download paper

  6. Was the recent downturn in US real GDP predictable?. (2015). Miller, Stephen ; Majumdar, Anandamayee ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:28:p:2985-3007.

    Full description at Econpapers || Download paper

  7. A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models. (2015). Galvão, Ana ; Galvo, Ana Beatriz ; Petrova, Katerina ; Kapetanios, George ; Giraitis, Liudas.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp770.

    Full description at Econpapers || Download paper

  8. Have the US macro-financial linkages changed? The balance sheet dimension. (2015). Gerba, Eddie.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:59886.

    Full description at Econpapers || Download paper

  9. Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model. (2015). Paccagnini, Alessia ; Bekiros, Stelios ; Stelios, Bekiros .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:19:y:2015:i:2:p:107-136:n:3.

    Full description at Econpapers || Download paper

  10. Steady-state priors and Bayesian variable selection in VAR forecasting. (2015). Louzis, Dimitrios.
    In: Working Papers.
    RePEc:bog:wpaper:195.

    Full description at Econpapers || Download paper

  11. Delayed Overshooting Puzzle in Structural Vector Autoregression Models.. (2015). Vonnák, Balázs ; Istrefi, Klodiana ; Vonnak, B.
    In: Working papers.
    RePEc:bfr:banfra:576.

    Full description at Econpapers || Download paper

  12. The Euro Crisis and Swedish GDP Growth — A Study of Spillovers. (2014). Österholm, Pär ; Osterholm, Par ; Stockhammar, Par .
    In: Working Papers.
    RePEc:hhs:nierwp:0134.

    Full description at Econpapers || Download paper

  13. Have the US macro-financial linkages changed? the balance sheet dimension. (2014). .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:56407.

    Full description at Econpapers || Download paper

  14. Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models. (2014). Paccagnini, Alessia ; Bekiros, Stelios.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:71:y:2014:i:c:p:298-323.

    Full description at Econpapers || Download paper

  15. Evaluating point and density forecasts of DSGE models. (2013). Wolters, Maik.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:201303.

    Full description at Econpapers || Download paper

  16. Assessing policy reforms for Italy using ITEM and QUESTIII. (2013). Nucci, Francesco ; Di Dio, Fabio ; Annicchiarico, Barbara ; Felici, Francesco.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:280.

    Full description at Econpapers || Download paper

  17. Forecasting with Bayesian Vector Autoregression. (2013). Karlsson, Sune .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-791.

    Full description at Econpapers || Download paper

  18. DSGE Model-Based Forecasting. (2013). del Negro, Marco ; Schorfheide, Frank.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-57.

    Full description at Econpapers || Download paper

  19. Forecasting Output. (2013). Chauvet, Marcelle ; Potter, Simon .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-141.

    Full description at Econpapers || Download paper

  20. Moving towards probability forecasting. (2013). Wakerly, Elizabeth C ; Vahey, Shaun P.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:70-02.

    Full description at Econpapers || Download paper

  21. Evaluating point and density forecasts of DSGE models. (2012). Wolters, Maik.
    In: MPRA Paper.
    RePEc:pra:mprapa:36147.

    Full description at Econpapers || Download paper

  22. The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession. (2012). Österholm, Pär.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:1:p:76-86.

    Full description at Econpapers || Download paper

  23. MOSES: Model for studying the economy of Sweden. (2012). Nymoen, Ragnar ; Reijer, Ard ; BÃ¥rdsen, Gunnar ; den Reijer, Ard ; Jonasson, Patrik ; Brdsen, Gunnar .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2566-2582.

    Full description at Econpapers || Download paper

  24. Forecasting under Model Uncertainty. (2011). Wolters, Maik.
    In: Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis.
    RePEc:zbw:vfsc11:48723.

    Full description at Econpapers || Download paper

  25. Macroeconomic Modelling and the Effects of Policy Reforms: an Assessment for Italy using ITEM and. (2011). Nucci, Francesco ; Di Dio, Fabio ; Annicchiarico, Barbara ; Felici, Francesco.
    In: Working Papers.
    RePEc:itt:wpaper:wp2011-1.

    Full description at Econpapers || Download paper

  26. How useful are estimated DSGE model forecasts?. (2011). Gürkaynak, Refet ; Edge, Rochelle M..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-11.

    Full description at Econpapers || Download paper

  27. Do central banks forecast influence private agents ? Forecasting performance vs. signals. (2011). Hubert, Paul.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1120.

    Full description at Econpapers || Download paper

  28. Monetary Policy, Imperfect Information and the Expectations Channel. (2010). Fitoussi, Jean-Paul ; Hubert, Paul.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg.

    Full description at Econpapers || Download paper

  29. Monetary Policy, Imperfect Information and the Expectations Channel. (2010). Hubert, Paul.
    In: Sciences Po Economics Discussion Papers.
    RePEc:spo:wpecon:info:hdl:2441/f4rshpf3v1umfa09lat09b1bg.

    Full description at Econpapers || Download paper

  30. A Forecasting Metric for Evaluating DSGE Models for Policy Analysis. (2010). Gupta, Abhishek.
    In: MPRA Paper.
    RePEc:pra:mprapa:26718.

    Full description at Econpapers || Download paper

  31. A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model. (2010). Laforte, Jean-Philippe ; Kiley, Michael ; Edge, Rochelle M..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:4:p:720-754.

    Full description at Econpapers || Download paper

  32. Averaging forecasts from VARs with uncertain instabilities. (2010). McCracken, Michael ; Clark, Todd.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:1:p:5-29.

    Full description at Econpapers || Download paper

  33. DSGE model-based forecasting of non-modelled variables. (2010). Sill, Keith ; Schorfheide, Frank ; Kryshko, Maxym .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:348-373.

    Full description at Econpapers || Download paper

  34. Forecasting inflation in an inflation-targeting regime: A role for informative steady-state priors. (2010). Österholm, Pär ; Beechey, Meredith.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:248-264.

    Full description at Econpapers || Download paper

  35. External Linkages and Economic Growth in Colombia: Insights from a Bayesian VAR Model. (2010). Österholm, Pär ; Abrego, Lisandro.
    In: The World Economy.
    RePEc:bla:worlde:v:33:y:2010:i:12:p:1788-1810.

    Full description at Econpapers || Download paper

  36. Improving Unemployment Rate Forecasts Using Survey Data. (2009). Österholm, Pär.
    In: Working Papers.
    RePEc:hhs:nierwp:0112.

    Full description at Econpapers || Download paper

  37. A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model. (2009). Laforte, Jean-Philippe ; Kiley, Michael ; Edge, Rochelle M..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2009-10.

    Full description at Econpapers || Download paper

  38. Informational Advantage and Influence of Communicating Central Banks. (2009). Hubert, Paul.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:0904.

    Full description at Econpapers || Download paper

  39. A COMPARISON OF FORECAST PERFORMANCE BETWEEN FEDERAL RESERVE STAFF FORECASTS, SIMPLE REDUCED-FORM MODELS, AND A DSGE MODEL. (2009). Kiley, Michael ; Laforte, Jean-Philippe ; Edge, Rochelle M..
    In: CAMA Working Papers.
    RePEc:een:camaaa:2009-03.

    Full description at Econpapers || Download paper

  40. Estimating DSGE-Model-Consistent Trends for Use in Forecasting. (2009). Kozicki, Sharon ; Cayen, Jean-Philippe ; Gosselin, Marc-Andre .
    In: Staff Working Papers.
    RePEc:bca:bocawp:09-35.

    Full description at Econpapers || Download paper

  41. Does money matter for U.S. inflation? Evidence from Bayesian VARs. (2008). Österholm, Pär ; Berger, Helge.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:20089.

    Full description at Econpapers || Download paper

  42. Does money growth granger-cause inflation in the Euro Area? Evidence from output-of-sample forecasts using Bayesian VARs. (2008). Österholm, Pär ; Berger, Helge.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:200810.

    Full description at Econpapers || Download paper

  43. Incorporating judgement with DSGE models. (2008). Lees, Kirdan ; Binning, Andrew ; Bene, Jaromir .
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2008/10.

    Full description at Econpapers || Download paper

  44. Does Money Matter for U.S. Inflation? Evidence from Bayesian VARs. (2008). Österholm, Pär ; Berger, Helge ; Osterholm, Par.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/076.

    Full description at Econpapers || Download paper

  45. External Linkages and Economic Growth in Colombia; Insights from A Bayesian VAR Model. (2008). Österholm, Pär ; Abrego, Lisandro ; Osterholm, Par.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/046.

    Full description at Econpapers || Download paper

  46. Interest rate forecasts: a pathology. (2008). Goodhart, Charles ; Lim, Wen Bin .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24431.

    Full description at Econpapers || Download paper

  47. A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy. (2008). Österholm, Pär ; Beechey, Meredith ; PÄR ÖSTERHOLM, .
    In: The Economic Record.
    RePEc:bla:ecorec:v:84:y:2008:i:267:p:449-465.

    Full description at Econpapers || Download paper

  48. Does Money Growth Granger-Cause Inflation in the Euro Area? Evidence from Out-of-Sample Forecasts Using Bayesian VARs. (2007). Österholm, Pär ; Berger, Helge.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2007_030.

    Full description at Econpapers || Download paper

  49. Incorporating Judgement in Fan Charts. (2006). Österholm, Pär.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2006_030.

    Full description at Econpapers || Download paper

  50. Macroeconomic Modelling and Policy Implications: an Assessment for Italy using ITEM and QUEST. (2002). Nucci, Francesco ; Di Dio, Fabio ; Annicchiarico, Barbara ; Felici, Francesco.
    In: EcoMod2010.
    RePEc:ekd:002596:259600045.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-12 22:08:50 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.