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Shaun P. Vahey

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.

    Mentioned in:

    1. DSGE models and forecasting
      by Christian Zimmermann in NEP-DGE blog on 2009-12-21 06:35:25

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2019. "Real‐time forecast combinations for the oil price," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.

    Mentioned in:

    1. Real‐time forecast combinations for the oil price (Journal of Applied Econometrics 2019) in ReplicationWiki ()
  2. Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.

    Mentioned in:

    1. Combining forecast densities from VARs with uncertain instabilities (Journal of Applied Econometrics 2010) in ReplicationWiki ()

Working papers

  1. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2022. "Reassessing the dependence between economic growth and financial conditions since 1973," CAMA Working Papers 2022-30, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Paul Labonne & Leif Anders Thorsrud, 2023. "Risky news and credit market sentiment," Working Papers No 14/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Aaron Amburgey & Michael W. McCracken, 2023. "Growth-at-Risk is Investment-at-Risk," Working Papers 2023-020, Federal Reserve Bank of St. Louis.

  2. Patrick J. Coe & Shaun P. Vahey, 2020. "Financial conditions and the risks to economic growth in the United States since 1875," CAMA Working Papers 2020-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Aaron J. Amburgey & Michael W. McCracken, 2023. "On the real‐time predictive content of financial condition indices for growth," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 137-163, March.
    2. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023. "Reassessing the dependence between economic growth and financial conditions since 1973," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
    3. Martin Gachter & Elias Hasler & Florian Huber, 2023. "A tale of two tails: 130 years of growth-at-risk," Papers 2302.08920, arXiv.org.
    4. Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
    5. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
    6. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

  3. Ozer Karagedikli & Shaun P. Vahey & Elizabeth C. Wakerly, 2019. "Improved methods for combining point forecasts for an asymmetrically distributed variable," CAMA Working Papers 2019-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023. "Reassessing the dependence between economic growth and financial conditions since 1973," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
    2. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2022. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," CEPR Discussion Papers 17512, C.E.P.R. Discussion Papers.
    3. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Hans Genberg & Özer Karagedikli, 2021. "Machine Learning and Central Banks: Ready for Prime Time?," Working Papers wp43, South East Asian Central Banks (SEACEN) Research and Training Centre.

  4. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    2. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.

  5. Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2018. "Real-time forecast combinations for the oil price," CAMA Working Papers 2018-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022. "Energy Markets and Global Economic Conditions," The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 828-844, October.
    2. Li Li & Yanfei Kang & Feng Li, 2021. "Bayesian forecast combination using time-varying features," Papers 2108.02082, arXiv.org, revised Jun 2022.
    3. Funashima, Yoshito, 2020. "Global economic activity indexes revisited," Economics Letters, Elsevier, vol. 193(C).
    4. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
    5. Kilian, Lutz, 2019. "Facts and Fiction in Oil Market Modeling," CEPR Discussion Papers 14047, C.E.P.R. Discussion Papers.
    6. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2019. "Real‐time forecast combinations for the oil price," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.
    8. Amor Aniss Benmoussa & Reinhard Ellwanger & Stephen Snudden, 2020. "The New Benchmark for Forecasts of the Real Price of Crude Oil," Staff Working Papers 20-39, Bank of Canada.
    9. Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
    10. Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022. "Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts," National Institute of Economic and Social Research (NIESR) Discussion Papers 541, National Institute of Economic and Social Research.
    11. Krüger, Jens & Ruths Sion, Sebastian, 2019. "Improving oil price forecasts by sparse VAR methods," Darmstadt Discussion Papers in Economics 237, Darmstadt University of Technology, Department of Law and Economics.
    12. Pincheira-Brown, Pablo & Bentancor, Andrea & Hardy, Nicolás & Jarsun, Nabil, 2022. "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis," Energy Economics, Elsevier, vol. 106(C).
    13. Ellwanger, Reinhard & Snudden, Stephen, 2023. "Forecasts of the real price of oil revisited: Do they beat the random walk?," Journal of Banking & Finance, Elsevier, vol. 154(C).
    14. Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper 2021/3, Norges Bank.
    15. Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden, 2023. "Carpe Diem: Can daily oil prices improve model-based forecasts of the real price of crude oil?," LCERPA Working Papers bm0141, Laurier Centre for Economic Research and Policy Analysis.
    16. Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
    17. Myung-Hun Kim & Eul-Bum Lee & Han-Suk Choi, 2019. "A Forecast and Mitigation Model of Construction Performance by Assessing Detailed Engineering Maturity at Key Milestones for Offshore EPC Mega-Projects," Sustainability, MDPI, vol. 11(5), pages 1-21, February.

  6. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Probability Forecasting for Inflation Warnings from the Federal Reserve," EMF Research Papers 07, Economic Modelling and Forecasting Group.

    Cited by:

    1. Geoff Kenny & Thomas Kostka & Federico Masera, 2015. "Density characteristics and density forecast performance: a panel analysis," Empirical Economics, Springer, vol. 48(3), pages 1203-1231, May.
    2. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
    3. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.

  7. James M. Nason & Shaun P. Vahey, 2011. "UK World War I and Interwar Data for Business Cycle and Growth Analysis," CAMA Working Papers 2011-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2017. "Does technology cause business cycles in the USA? A Schumpeter-inspired approach," LSE Research Online Documents on Economics 80760, London School of Economics and Political Science, LSE Library.
    2. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2017. "Technology and Business Cycles: A Schumpeterian Investigation for the USA," MPRA Paper 80636, University Library of Munich, Germany.

  8. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2011. "Measuring Output Gap Nowcast Uncertainty," CAMA Working Papers 2011-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Florian Eckert & Nina Mühlebach, 2021. "Global and Local Components of Output Gaps," KOF Working papers 21-497, KOF Swiss Economic Institute, ETH Zurich.
    2. Yu-Fan Huang & Sui Luo, 2018. "Potential output and inflation dynamics after the Great Recession," Empirical Economics, Springer, vol. 55(2), pages 495-517, September.
    3. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
    4. de Carvalho, Miguel & Rua, António, 2017. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," International Journal of Forecasting, Elsevier, vol. 33(1), pages 185-198.
    5. Bańbura, Marta & Bobeica, Elena, 2023. "Does the Phillips curve help to forecast euro area inflation?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 364-390.
    6. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    7. Chalmovianský, Jakub & Němec, Daniel, 2022. "Assessing uncertainty of output gap estimates: Evidence from Visegrad countries," Economic Modelling, Elsevier, vol. 116(C).
    8. Travis J. Berge, 2023. "Time-Varying Uncertainty of the Federal Reserve's Output Gap Estimate," The Review of Economics and Statistics, MIT Press, vol. 105(5), pages 1191-1206, September.
    9. Tino Berger & James Morley & Benjamin Wong, 2020. "Nowcasting the output gap," CAMA Working Papers 2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Morley, James & Wong, Benjamin, 2018. "Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions," Working Papers 2018-04, University of Sydney, School of Economics, revised Feb 2019.
    11. Buncic, Daniel & Müller, Oliver, 2017. "Measuring the output gap in Switzerland with linear opinion pools," Economic Modelling, Elsevier, vol. 64(C), pages 153-171.
    12. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    13. Lenza, Michele & Jarociński, Marek, 2016. "An inflation-predicting measure of the output gap in the euro area," Working Paper Series 1966, European Central Bank.
    14. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Probability Forecasting for Inflation Warnings from the Federal Reserve," EMF Research Papers 07, Economic Modelling and Forecasting Group.
    16. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    17. James Morley, 2019. "The business cycle: periodic pandemic or rollercoaster ride?," International Journal of Economic Policy Studies, Springer, vol. 13(2), pages 425-431, August.
    18. Florian Eckert & Nina Mühlebach, 2023. "Global and local components of output gaps," Empirical Economics, Springer, vol. 65(5), pages 2301-2331, November.

  9. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.

    Cited by:

    1. Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
    2. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
    3. Berg Tim Oliver, 2017. "Forecast accuracy of a BVAR under alternative specifications of the zero lower bound," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-29, April.
    4. Michael S. Smith & Shaun P. Vahey, 2016. "Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 416-434, July.
    5. Francesco Ravazzolo & Philip Rothman, 2013. "Oil and U.S. GDP: A Real-Time Out-of-Sample Examination," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 449-463, March.
    6. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
    7. Cobb, Marcus P A, 2017. "Joint Forecast Combination of Macroeconomic Aggregates and Their Components," MPRA Paper 76556, University Library of Munich, Germany.
    8. Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative tests for correct specification of conditional predictive densities," Economics Working Papers 1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
    9. Ellis W. Tallman & Saeed Zaman, 2015. "Forecasting Inflation: Phillips Curve Effects on Services Price Measures," Working Papers (Old Series) 1519, Federal Reserve Bank of Cleveland.
    10. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.
    11. Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    12. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    13. Nikolay P. Pilnik & Igor Pospelov & Ivan P. Stankevich, 2015. "Multiproduct Model Decomposition of Components of Russian GDP," HSE Working papers WP BRP 111/EC/2015, National Research University Higher School of Economics.
    14. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    15. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    16. Hilde C. Bj�rnland & Francesco Ravazzolo & Leif Anders Thorsrud, 2015. "Forecasting GDP with global components. This time is different," Working Papers No 1/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Gelain, Paolo & Iskrev, Nikolay & J. Lansing, Kevin & Mendicino, Caterina, 2019. "Inflation dynamics and adaptive expectations in an estimated DSGE model," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 258-277.
    18. Chalmovianský, Jakub & Porqueddu, Mario & Sokol, Andrej, 2020. "Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area," Working Paper Series 2501, European Central Bank.
    19. Abbate, Angela & Marcellino, Massimiliano, 2016. "Point, interval and density forecasts of exchange rates with time-varying parameter models," Discussion Papers 19/2016, Deutsche Bundesbank.
    20. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Dynamic predictive density combinations for large data sets in economics and finance," Working Paper 2015/12, Norges Bank.
    21. Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
    22. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Paper 2014/10, Norges Bank.
    23. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    24. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 2012/09, Norges Bank.
    25. Barbara Rossi, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?," Working Papers 1081, Barcelona School of Economics.
    26. Francesco Ravazzolo & Philip Rothman, 2015. "Oil-Price Density Forecasts of U.S. GDP," Working Papers No 10/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    27. Bo Zhang, 2019. "Real‐time inflation forecast combination for time‐varying coefficient models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(3), pages 175-191, April.
    28. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Working Paper series 20-27, Rimini Centre for Economic Analysis.
    29. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
    30. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    31. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    32. Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
    33. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Probability Forecasting for Inflation Warnings from the Federal Reserve," EMF Research Papers 07, Economic Modelling and Forecasting Group.
    34. Dimitrios P. Louzis, 2019. "Steady‐state modeling and macroeconomic forecasting quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 285-314, March.
    35. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
    36. Tim Oliver Berg & Steffen Henzel, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo.
    37. Cobb, Marcus P A, 2017. "Aggregate Density Forecasting from Disaggregate Components Using Large VARs," MPRA Paper 76849, University Library of Munich, Germany.
    38. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.

  10. Ida Wolden Bache & James Mitchell & Francesco Ravazzolo & Shaun P. Vahey, 2009. "Macro modelling with many models," Working Paper 2009/15, Norges Bank.

    Cited by:

    1. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
    2. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
    4. Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2013. "Measuring Output Gap Nowcast Uncertainty," EMF Research Papers 01, Economic Modelling and Forecasting Group.
    5. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
    6. Chris McDonald & Leif Anders Thorsrud, 2011. "Evaluating density forecasts: model combination strategies versus the RBNZ," Reserve Bank of New Zealand Discussion Paper Series DP2011/03, Reserve Bank of New Zealand.
    7. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    8. Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper 2009/19, Norges Bank.
    9. Tony Chernis, 2023. "Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis," Staff Working Papers 23-45, Bank of Canada.
    10. Cobb, Marcus P A, 2017. "Aggregate Density Forecasting from Disaggregate Components Using Large VARs," MPRA Paper 76849, University Library of Munich, Germany.

  11. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," Birkbeck Working Papers in Economics and Finance 0910, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
    2. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
    3. Chris McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the economic value of probabilistic forecasts in the presence of an inflation target," Reserve Bank of New Zealand Discussion Paper Series DP2016/10, Reserve Bank of New Zealand.
    4. Hilde Bjørnland & Karsten Gerdrup & Christie Smith & Anne Sofie Jore & Leif Anders Thorsrud, 2010. "Weights and pools for a Norwegian density combination," Working Paper 2010/06, Norges Bank.
    5. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    6. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    7. Mitchell, James, 2013. "The Recalibrated and Copula Opinion Pools," EMF Research Papers 02, Economic Modelling and Forecasting Group.
    8. Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
    9. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    10. Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2013. "Measuring Output Gap Nowcast Uncertainty," EMF Research Papers 01, Economic Modelling and Forecasting Group.
    11. Tavakolian , Hossein & Babaee , Majid & Shakeri , Abbas, 2018. "How Fluctuations in Macroeconomic Indicators Affect Inflation in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(3), pages 267-289, July.
    12. Bo Zhang, 2019. "Real‐time inflation forecast combination for time‐varying coefficient models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(3), pages 175-191, April.
    13. Pauwels, Laurent & Vasnev, Andrey, 2013. "Forecast combination for U.S. recessions with real-time data," Working Papers 02/2013, University of Sydney Business School, Discipline of Business Analytics.
    14. Mohsen Khezri & Seyed Ehsan Hosseinidoust & Mohammad Kazem Naziri, 2019. "Investigating the Temporary and Permanent Influential Variables on Iran Inflation Using TVP-DMA Models," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 23(1), pages 209-234, Winter.
    15. Bo Zhang & Jamie Cross & Na Guo, 2020. "Time-Varying Trend Models for Forecasting Inflation in Australia," Working Papers No 09/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    16. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. McElroy, Tucker S. & Wildi, Marc, 2020. "The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions," Econometrics and Statistics, Elsevier, vol. 14(C), pages 112-130.
    18. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Probability Forecasting for Inflation Warnings from the Federal Reserve," EMF Research Papers 07, Economic Modelling and Forecasting Group.
    19. Siemsen, Thomas & Vilsmeier, Johannes, 2018. "On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests," Discussion Papers 31/2018, Deutsche Bundesbank.
    20. Na Guo & Bo Zhang & Jamie L. Cross, 2022. "Time‐varying trend models for forecasting inflation in Australia," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 316-330, March.
    21. Yang, Dazhi & van der Meer, Dennis, 2021. "Post-processing in solar forecasting: Ten overarching thinking tools," Renewable and Sustainable Energy Reviews, Elsevier, vol. 140(C).
    22. Li, Gang & Wu, Doris Chenguang & Zhou, Menglin & Liu, Anyu, 2019. "The combination of interval forecasts in tourism," Annals of Tourism Research, Elsevier, vol. 75(C), pages 363-378.

  12. Anthony Garratt & James Mitchell & Shaun P. Vahey, 2009. "Measuring Output Gap Uncertainty," Birkbeck Working Papers in Economics and Finance 0909, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
    2. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
    3. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 363-393, March.
    4. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Xueting Yu & Yuhan Zhu & Guangming Lv, 2020. "Analysis of the Impact of China’s GDP Data Revision on Monetary Policy from the Perspective of Uncertainty," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(6), pages 1251-1274, May.
    6. Dr. James Mitchell, 2009. "Macro Modelling with Many Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 337, National Institute of Economic and Social Research.
    7. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(72), pages 74-82, December.
    8. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
    9. Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," Borradores de Economia 10973, Banco de la Republica.
    10. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    11. Juan Manuel Julio, 2011. "Data Revisions and the Output Gap," Borradores de Economia 642, Banco de la Republica de Colombia.
    12. Marcellino, Massimiliano & Musso, Alberto, 2010. "The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap," CEPR Discussion Papers 7763, C.E.P.R. Discussion Papers.
    13. Mamdouh Abdelmoula M. ABDELSALAM, 2017. "Improving Phillips Curve’s Inflation Forecasts under Misspecification," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 54-76, September.

  13. Ida Wolden Bache & Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2009. "Combining VAR and DSGE forecast densities," Working Paper 2009/23, Norges Bank.

    Cited by:

    1. Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
    2. Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
    3. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
    4. Nalban, Valeriu, 2018. "Forecasting with DSGE models: What frictions are important?," Economic Modelling, Elsevier, vol. 68(C), pages 190-204.
    5. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
    6. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
    7. Barbara Rossi & Tatevik Sekhposyan, 2014. "Alternative tests for correct specification of conditional predictive densities," Economics Working Papers 1416, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
    8. Valeriu Nalban, 2015. "Do Bayesian Vector Autoregressive models improve density forecasting accuracy? The case of the Czech Republic and Romania," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 4(1), pages 60-74, March.
    9. Jakub Ryšánek, 2010. "Combining VAR Forecast Densities Using Fast Fourier Transform," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2010(5), pages 72-88.
    10. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    11. Diebold, Francis X. & Schorfheide, Frank & Shin, Minchul, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," CFS Working Paper Series 577, Center for Financial Studies (CFS).
    12. Dr. James Mitchell, 2009. "Macro Modelling with Many Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 337, National Institute of Economic and Social Research.
    13. Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
    14. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    15. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
    16. Knüppel, Malte, 2011. "Evaluating the calibration of multi-step-ahead density forecasts using raw moments," Discussion Paper Series 1: Economic Studies 2011,32, Deutsche Bundesbank.
    17. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    18. Periklis Gogas & Theophilos Papadimitriou & Elvira Takli, 2013. "Comparison of simple sum and Divisia monetary aggregates in GDP forecasting: a support vector machines approach," Economics Bulletin, AccessEcon, vol. 33(2), pages 1101-1115.
    19. Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper 2009/19, Norges Bank.
    20. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
    21. Sebastiano Manzan, 2015. "Forecasting the Distribution of Economic Variables in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 144-164, January.
    22. Hoornweg, V., 2013. "Some Tools for Robustifying Econometric Analyses," Econometric Institute Research Papers 50163, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    23. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
    24. Rossi, Barbara & Gürkaynak, Refet & Kısacıkoğlu, Burçin, 2013. "Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?," CEPR Discussion Papers 9576, C.E.P.R. Discussion Papers.

  14. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun Vahey, 2008. "RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence," Working Paper 2008/17, Norges Bank.

    Cited by:

    1. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    2. Ramiro Rodríguez Revilla, 2011. "Modelos de equilibrio general dinámicos y estocásticos para Colombia 1995-2011," Revista Ecos de Economía, Universidad EAFIT, December.
    3. Eijffinger, Sylvester & Uras, Burak & Grajales, Anderson, 2015. "Heterogeneity in Wage Setting Behavior in a New-Keynesian Model," CEPR Discussion Papers 10532, C.E.P.R. Discussion Papers.
    4. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
    5. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    6. Chris Bloor & Chris Hunt & Tim Ng & Hamish Pepper, 2008. "The use of money and credit measures in contemporary monetary policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 71, March.
    7. da Silva, Marcos Soares & Divino, Jose Angelo, 2013. "The role of banking regulation in an economy under credit risk and liquidity shock," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 266-281.
    8. Guha, Puja, 2013. "Macroeconomic effects of international remittances: The case of developing economies," Economic Modelling, Elsevier, vol. 33(C), pages 292-305.

  15. Anne-Sofie Jore & James Mitchell & Shaun P. Vahey, 2008. "Combining forecast densities from VARs with uncertain instabilities," Working Paper 2008/01, Norges Bank.

    Cited by:

    1. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    2. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    3. Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
    4. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    5. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    6. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
    7. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2012. "Does Forecast Combination Improve Norges Bank Inflation Forecasts?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 163-179, April.
    8. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox," CREATES Research Papers 2013-09, Department of Economics and Business Economics, Aarhus University.
    9. Li Li & Yanfei Kang & Feng Li, 2021. "Bayesian forecast combination using time-varying features," Papers 2108.02082, arXiv.org, revised Jun 2022.
    10. Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
    11. Michael S. Smith & Shaun P. Vahey, 2016. "Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 416-434, July.
    12. Tomáš Jeřábek & Jakub Trojan & Radka Šperková, 2013. "Predictive performance of DSGE model for small open economy - the case study of Czech Republic," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2229-2238.
    13. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-003/4, Tinbergen Institute.
    14. Kirdan Lees, 2009. "Overview of a recent Reserve Bank workshop: nowcasting with model combination," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 31-33, March.
    15. Götz, T.B. & Hecq, A.W. & Urbain, J.R.Y.J., 2014. "Combining distributions of real-time forecasts: An application to U.S. growth," Research Memorandum 027, Maastricht University, Graduate School of Business and Economics (GSBE).
    16. Luiz Renato Regis de Oliveira Lima & Wagner Piazza Gaglianone, 2012. "Constructing Optimal Density Forecasts from Point Forecast Combinations," Série Textos para Discussão (Working Papers) 5, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
    17. Jonathan Berrisch & Florian Ziel, 2023. "Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices," Papers 2303.10019, arXiv.org, revised Feb 2024.
    18. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
    19. Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Working Papers 21-06, Federal Reserve Bank of Philadelphia.
    20. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    21. Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
    22. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
    23. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
    24. Hilde Bjørnland & Karsten Gerdrup & Christie Smith & Anne Sofie Jore & Leif Anders Thorsrud, 2010. "Weights and pools for a Norwegian density combination," Working Paper 2010/06, Norges Bank.
    25. Matteo Luciani & Lorenzo Ricci, 2014. "Nowcasting Norway," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
    26. Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2018. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 675-685, April.
    27. Constantin Bürgi & Tara M. Sinclair, 2015. "A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average," Working Papers 2015-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    28. Coe, Patrick J & Vahey, Shaun P., 2014. "Probablistic Prediction of the US Great Recession with Historical Expert," EMF Research Papers 06, Economic Modelling and Forecasting Group.
    29. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    30. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    31. Fawcett, Nicholas & Kapetanios, George & Mitchell, James & Price, Simon, 2014. "Generalised density forecast combinations," Bank of England working papers 492, Bank of England.
    32. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial indicators and density forecasts for US output and inflation," Temi di discussione (Economic working papers) 977, Bank of Italy, Economic Research and International Relations Area.
    33. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021. "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
    34. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    35. Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
    36. Tomáš Jeřábek & Radka Šperková, 2015. "A Predictive Likelihood Approach to Bayesian Averaging," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1269-1276.
    37. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.
    38. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    39. Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    40. Marcus P. A. Cobb, 2020. "Aggregate density forecasting from disaggregate components using Bayesian VARs," Empirical Economics, Springer, vol. 58(1), pages 287-312, January.
    41. Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016. "Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 118-127, January.
    42. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    43. Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
    44. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an uncertain economic environment," Working Paper 2014/17, Norges Bank.
    45. Dr. James Mitchell, 2009. "Measuring Output Gap Uncertainty," National Institute of Economic and Social Research (NIESR) Discussion Papers 342, National Institute of Economic and Social Research.
    46. Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
    47. Dr. James Mitchell, 2009. "Macro Modelling with Many Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 337, National Institute of Economic and Social Research.
    48. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers 715, Queen Mary University of London, School of Economics and Finance.
    49. Fabian Krüger & Ingmar Nolte, 2011. "Disagreement, Uncertainty and the True Predictive Density," Working Paper Series of the Department of Economics, University of Konstanz 2011-43, Department of Economics, University of Konstanz.
    50. Victor Lopez-Perez, 2016. "Macroeconomic Forecast Uncertainty In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 9-41, March.
    51. Garratt, Anthony & Mise, Emi, 2014. "Forecasting exchange rates using panel model and model averaging," Economic Modelling, Elsevier, vol. 37(C), pages 32-40.
    52. Mitchell, James, 2013. "The Recalibrated and Copula Opinion Pools," EMF Research Papers 02, Economic Modelling and Forecasting Group.
    53. Paulo M. Sánchez & Luis Fernando Melo, 2013. "Combinación de brechas del producto colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(72), pages 74-82, December.
    54. Pauwels, Laurent L. & Vasnev, Andrey L., 2016. "A note on the estimation of optimal weights for density forecast combinations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 391-397.
    55. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
    56. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Annual Review of Economics, Annual Reviews, vol. 7(1), pages 207-229, August.
    57. Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2013. "Measuring Output Gap Nowcast Uncertainty," EMF Research Papers 01, Economic Modelling and Forecasting Group.
    58. Knüppel, Malte, 2011. "Evaluating the calibration of multi-step-ahead density forecasts using raw moments," Discussion Paper Series 1: Economic Studies 2011,32, Deutsche Bundesbank.
    59. Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper 2021/3, Norges Bank.
    60. Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020. "Focused Bayesian Prediction," Monash Econometrics and Business Statistics Working Papers 1/20, Monash University, Department of Econometrics and Business Statistics.
    61. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    62. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Paper 2014/10, Norges Bank.
    63. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    64. Karapanagiotidis, Paul, 2012. "Improving Bayesian VAR density forecasts through autoregressive Wishart Stochastic Volatility," MPRA Paper 38885, University Library of Munich, Germany.
    65. Giannone, Domenico & De Mol, Christine & Conflitti, Cristina, 2012. "Optimal Combination of Survey Forecasts," CEPR Discussion Papers 9096, C.E.P.R. Discussion Papers.
    66. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
    67. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 2012/09, Norges Bank.
    68. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
    69. Barbara Rossi, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?," Working Papers 1081, Barcelona School of Economics.
    70. Bo Zhang, 2019. "Real‐time inflation forecast combination for time‐varying coefficient models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(3), pages 175-191, April.
    71. Fabio Busetti, 2014. "Quantile aggregation of density forecasts," Temi di discussione (Economic working papers) 979, Bank of Italy, Economic Research and International Relations Area.
    72. Reif Magnus, 2021. "Macroeconomic uncertainty and forecasting macroeconomic aggregates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
    73. S. Avouyi-Dovi & C. Labonne & R. Lecat & S. Ray, 2017. "Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets," Working papers 620, Banque de France.
    74. Smith, Michael Stanley & Shively, Thomas S., 2018. "Econometric modeling of regional electricity spot prices in the Australian market," Energy Economics, Elsevier, vol. 74(C), pages 886-903.
    75. Drachal, Krzysztof, 2021. "Forecasting crude oil real prices with averaging time-varying VAR models," Resources Policy, Elsevier, vol. 74(C).
    76. Rossi, Barbara & Sekhposyan, Tatevik, 2014. "Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set," International Journal of Forecasting, Elsevier, vol. 30(3), pages 662-682.
    77. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
    78. Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013. "Combinación de brechas del producto colombiano," Borradores de Economia 10973, Banco de la Republica.
    79. Hugo Gerard & Kristoffer Nimark, 2008. "Combining Multivariate Density Forecasts Using Predictive Criteria," RBA Research Discussion Papers rdp2008-02, Reserve Bank of Australia.
    80. Kenichiro McAlinn & Knut Are Aastveit & Jouchi Nakajima & Mike West, 2019. "Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Working Paper 2019/2, Norges Bank.
    81. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    82. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    83. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    84. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Working Papers (Old Series) 1134, Federal Reserve Bank of Cleveland.
    85. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    86. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Probability Forecasting for Inflation Warnings from the Federal Reserve," EMF Research Papers 07, Economic Modelling and Forecasting Group.
    87. Geoff Kenny & Thomas Kostka & Federico Masera, 2015. "Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro-Area SPF," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 1-46, December.
    88. Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
    89. Filippo di Mauro & Filippo di Mauro, Fabio Fornari, 2014. "Going granular: The importance of firm-level equity information in anticipating economic activity," EcoMod2014 6809, EcoMod.
    90. Karsten R. Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Evaluating ensemble density combination - forecasting GDP and inflation," Working Paper 2009/19, Norges Bank.
    91. Piergiorgio Alessandri & Haroon Mumtaz, 2017. "Online Appendix to "Financial conditions and density forecasts for US output and inflation"," Online Appendices 14-103, Review of Economic Dynamics.
    92. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
    93. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2014. "Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities," Tinbergen Institute Discussion Papers 14-090/III, Tinbergen Institute.
    94. Taylor, James W., 2020. "Forecast combinations for value at risk and expected shortfall," International Journal of Forecasting, Elsevier, vol. 36(2), pages 428-441.
    95. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series 1366, European Central Bank.
    96. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
    97. Manzan, Sebastiano & Zerom, Dawit, 2013. "Are macroeconomic variables useful for forecasting the distribution of U.S. inflation?," International Journal of Forecasting, Elsevier, vol. 29(3), pages 469-478.
    98. Sebastiano Manzan, 2015. "Forecasting the Distribution of Economic Variables in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 144-164, January.
    99. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
    100. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
    101. Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
    102. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    103. Bańbura, Marta & Brenna, Federica & Paredes, Joan & Ravazzolo, Francesco, 2021. "Combining Bayesian VARs with survey density forecasts: does it pay off?," Working Paper Series 2543, European Central Bank.
    104. Timo Henckel & Shaun Vahey & Liz Wakerly, 2011. "Probabilistic interest rate setting with a shadow board: A description of the pilot project," CAMA Working Papers 2011-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    105. Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
    106. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
    107. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.
    108. Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.
    109. Kocięcki, Andrzej & Kolasa, Marcin & Rubaszek, Michał, 2012. "A Bayesian method of combining judgmental and model-based density forecasts," Economic Modelling, Elsevier, vol. 29(4), pages 1349-1355.
    110. K=osaku Takanashi & Kenichiro McAlinn, 2019. "Equivariant online predictions of non-stationary time series," Papers 1911.08662, arXiv.org, revised Jun 2023.
    111. McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.

  16. Anthony Garratt & Gary Koop & Emi Mise & Shaun P Vahey, 2007. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0714, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Oleg Korenok & Stanislav Radchenko & Norman R. Swanson, 2010. "International evidence on the efficacy of new‐Keynesian models of inflation persistence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 31-54, January.
    2. Andres Fernandez & Norman R. Swanson, 2009. "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers 09-28, Federal Reserve Bank of Philadelphia.
    3. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    4. Chris McDonald & Craig Thamotheram & Shaun P. Vahey & Elizabeth C. Wakerly, 2016. "Assessing the economic value of probabilistic forecasts in the presence of an inflation target," Reserve Bank of New Zealand Discussion Paper Series DP2016/10, Reserve Bank of New Zealand.
    5. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2008. "A Naïve Sticky Information Model of Households’ Inflation Expectations," MPRA Paper 8663, University Library of Munich, Germany.
    6. Cobham, David, 2012. "The past, present and future of central banking," SIRE Discussion Papers 2012-50, Scottish Institute for Research in Economics (SIRE).
    7. Robert J. Tetlow, 2010. "Real-time model uncertainty in the United States: 'Robust' policies put to the test," Finance and Economics Discussion Series 2010-15, Board of Governors of the Federal Reserve System (U.S.).
    8. Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "Oil prices and global factor macroeconomic variables," Energy Economics, Elsevier, vol. 59(C), pages 198-212.
    9. Alex Nikolsko-Rzhevskyy, 2011. "Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, August.
    10. Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
    11. Vespignani, Joaquin L. & Ratti, Ronald A., 2016. "Not all international monetary shocks are alike for the Japanese economy," Economic Modelling, Elsevier, vol. 52(PB), pages 822-837.
    12. Schumacher, Christian, 2009. "Factor forecasting using international targeted predictors: the case of German GDP," Discussion Paper Series 1: Economic Studies 2009,10, Deutsche Bundesbank.
    13. Jiang, Lei, 2014. "Stock liquidity and the Taylor rule," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 202-214.
    14. KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
    16. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2010. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," CAMA Working Papers 2010-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    18. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    19. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
    20. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank.
    21. Smith, Michael Stanley, 2015. "Copula modelling of dependence in multivariate time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 815-833.
    22. Chang, Ming-Jen & Matsuki, Takashi, 2022. "Exchange rate forecasting with real-time data: Evidence from Western offshoots," Research in International Business and Finance, Elsevier, vol. 59(C).
    23. Dr. James Mitchell, 2009. "Measuring Output Gap Uncertainty," National Institute of Economic and Social Research (NIESR) Discussion Papers 342, National Institute of Economic and Social Research.
    24. David Cobham, 2012. "From Bretton Woods to inflation targeting: financial change and monetary policy evolution in Europe," Heriot-Watt University Economics Discussion Papers 1203, Department of Economics, School of Management and Languages, Heriot Watt University.
    25. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    26. Garratt, Anthony & Mitchell, James & Vahey, Shaun, 2013. "Measuring Output Gap Nowcast Uncertainty," EMF Research Papers 01, Economic Modelling and Forecasting Group.
    27. Khiabani, Nasser, 2010. "How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran," MPRA Paper 34041, University Library of Munich, Germany, revised 01 Mar 2011.
    28. Bo Zhang, 2019. "Real‐time inflation forecast combination for time‐varying coefficient models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(3), pages 175-191, April.
    29. Dimitris Korobilis, 2018. "Machine Learning Macroeconometrics: A Primer," Working Paper series 18-30, Rimini Centre for Economic Analysis.
    30. Luoto, Jani, 2011. "Aggregate infrastructure capital stock and long-run growth: Evidence from Finnish data," Journal of Development Economics, Elsevier, vol. 94(2), pages 181-191, March.
    31. Kevin Lee, Nilss Olekalns, Kalvinder Shields and Zheng Wang, 2011. "The Australian Real?Time Datbase: An Overview and an Illustration of its Use in Business Cycle Analysis," Department of Economics - Working Papers Series 1132, The University of Melbourne.
    32. Buncic, Daniel & Müller, Oliver, 2017. "Measuring the output gap in Switzerland with linear opinion pools," Economic Modelling, Elsevier, vol. 64(C), pages 153-171.
    33. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
    34. Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series 65_12, Rimini Centre for Economic Analysis.
    35. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    36. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
    37. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Division of Economics, School of Business, University of Leicester.
    38. Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
    39. Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
    40. Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
    41. Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
    42. Erick Lahura, 2017. "Monetary Aggregates and Monetary Policy in Peru," BCAM Working Papers 1704, Birkbeck Centre for Applied Macroeconomics.
    43. Khiabani, Nasser, 2015. "Oil inflows and housing market fluctuations in an oil-exporting country: Evidence from Iran," Journal of Housing Economics, Elsevier, vol. 30(C), pages 59-76.
    44. Anthony Garratt & Ivan Petrella, 2022. "Commodity prices and inflation risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
    45. Enrique Moral-Benito, 2015. "Model Averaging In Economics: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 46-75, February.
    46. Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014. "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 210-229.

  17. James M. Nason & Shaun P. Vahey, 2007. "The McKenna rule and U.K. World War I finance," FRB Atlanta Working Paper 2007-03, Federal Reserve Bank of Atlanta.

    Cited by:

    1. James M. Nason & Shaun P. Vahey, 2011. "UK World War I and interwar data for business cycle and growth analysis," Working Papers 11-10, Federal Reserve Bank of Philadelphia.
    2. Teupe, Sebastian, 2020. "Keynes, Inflation, and the Public Debt: "How to Pay for the War" as a Policy Prescription for Financial Repression?," Working Papers 16, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.

  18. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0617, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Yu-Fan Huang & Sui Luo, 2018. "Potential output and inflation dynamics after the Great Recession," Empirical Economics, Springer, vol. 55(2), pages 495-517, September.
    2. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    3. Alex Nikolsko-Rzhevskyy, 2011. "Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, August.
    4. Anne Sofie Jore & James Mitchell & Shaun Vahey, 2008. "Combining Forecast Densities from VARs with Uncertain Instabilities," Reserve Bank of New Zealand Discussion Paper Series DP2008/18, Reserve Bank of New Zealand.
    5. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
    6. James M. Nason & Shaun P. Vahey, 2011. "UK World War I and interwar data for business cycle and growth analysis," Working Papers 11-10, Federal Reserve Bank of Philadelphia.
    7. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.
    8. Döhrn, Roland, 2020. "Are German national accounts informational efficient?," Ruhr Economic Papers 880, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    9. Akram, Q. Farooq, 2011. "Policy analysis in real time using IMF's monetary model," Economic Modelling, Elsevier, vol. 28(4), pages 1696-1709, July.
    10. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
    11. Christopher Adam & David Cobham, 2009. "Using Real-Time Output Gaps To Examine Past And Future Policy Choices," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 98-110, October.
    12. Li, Z. & Hurn, A.S. & Clements, A.E., 2017. "Forecasting quantiles of day-ahead electricity load," Energy Economics, Elsevier, vol. 67(C), pages 60-71.
    13. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    14. Cath Sleeman, 2006. "Analysis of revisions to quarterly GDP - a real-time database," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-44., March.
    15. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    16. Mahadeva, Lavan, 2007. "Monetary Policy and Data Uncertainty: A Case Study of Distribution, Hotels and Catering Growth," Discussion Papers 19, Monetary Policy Committee Unit, Bank of England.
    17. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
    18. Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
    19. Roland Döhrn, 2023. "Are German National Accounts informationally efficient?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(1), pages 23-42, March.
    20. Chanont Banternghansa & Michael W. McCracken, 2010. "Real-time forecast averaging with ALFRED," Working Papers 2010-033, Federal Reserve Bank of St. Louis.
    21. Richard G. Anderson & Charles S. Gascon, 2009. "Estimating U.S. output growth with vintage data in a state-space framework," Review, Federal Reserve Bank of St. Louis, vol. 91(Jul), pages 349-370.

  19. James M. Nason & Shaun P. Vahey, 2006. "Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes?," FRB Atlanta Working Paper 2006-04, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Jinzhu Chen & Prakash Kannan & Prakash Loungani & Bharat Trehan, 2012. "New evidence on cyclical and structural sources of unemployment," Proceedings, Federal Reserve Bank of San Francisco, issue March, pages 1-23.

  20. Anthony Garratt & Shaun P Vahey, 2005. "UK Real-Time Macro Data Characteristics," Birkbeck Working Papers in Economics and Finance 0502, Birkbeck, Department of Economics, Mathematics & Statistics.

    Cited by:

    1. Alastair Cunningham & Jana Eklund & Christopher Jeffery & George Kapetanios & Vincent Labhard, 2007. "A state space approach to extracting the signal from uncertain data," Bank of England working papers 336, Bank of England.
    2. Francisco de Castro & Javier J. Pérez & Marta Rodríguez Vives, 2011. "Fiscal data revisions in Europe," Working Papers 1106, Banco de España.
    3. Ana Beatriz Galvão & James Mitchell, 2019. "Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE).
    4. Jacopo Cimadomo, 2011. "Real-Time Data and Fiscal Policy Analysis: a Survey of the Literature," Working Papers 2011-20, CEPII research center.
    5. Anesti, Nikoleta & Galvao, Ana Beatriz & Miranda-Agrippino, Silvia, 2018. "Uncertain kingdom: nowcasting GDP and its revisions," LSE Research Online Documents on Economics 90382, London School of Economics and Political Science, LSE Library.
    6. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    7. Jan Jacobs & Jan-Egbert Sturm, 2007. "A real-time analysis of the Swiss trade account," Money Macro and Finance (MMF) Research Group Conference 2006 167, Money Macro and Finance Research Group.
    8. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
    9. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
    10. Alfonso Mendoza Velázquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks," Manchester School, University of Manchester, vol. 81, pages 100-124, September.
    11. Akram, Q. Farooq, 2011. "Policy analysis in real time using IMF's monetary model," Economic Modelling, Elsevier, vol. 28(4), pages 1696-1709, July.
    12. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
    13. Parigi, Giuseppe & Golinelli, Roberto, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
    14. Juan Manuel Julio, 2011. "Modeling Data Revisions," Borradores de Economia 641, Banco de la Republica de Colombia.
    15. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
    16. Thomas A. Knetsch & Hans‐Eggert Reimers, 2009. "Dealing with Benchmark Revisions in Real‐Time Data: The Case of German Production and Orders Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 209-235, April.
    17. Dean Croushore, 2019. "Revisions to PCE Inflation Measures: Implications for Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 241-265, October.
    18. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank.
    19. Cath Sleeman, 2006. "Analysis of revisions to quarterly GDP - a real-time database," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-44., March.
    20. Kevin Lee, Nilss Olekalns, Kalvinder Shields and Zheng Wang, 2011. "The Australian Real?Time Datbase: An Overview and an Illustration of its Use in Business Cycle Analysis," Department of Economics - Working Papers Series 1132, The University of Melbourne.
    21. Anthony Garratt & Kevin Lee & Emi Mise & Kalvinder Shields, 2006. "Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty," Birkbeck Working Papers in Economics and Finance 0618, Birkbeck, Department of Economics, Mathematics & Statistics.
    22. Julien Champagne & Guillaume Poulin-Bellisle & Rodrigo Sekkel, 2018. "Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts," Staff Working Papers 18-52, Bank of Canada.
    23. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
    24. Steve Cook, 2008. "Cross‐data‐vintage Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 849-865, December.
    25. Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard, 2007. "A State Space Approach To The Policymaker's Data Uncertainty Problem," Money Macro and Finance (MMF) Research Group Conference 2006 168, Money Macro and Finance Research Group.
    26. S Cook, 2011. "An historical perspective on the forecasting performance of the Treasury Model: Forecasting the growth in UK consumers' expenditure," Post-Print hal-00665455, HAL.
    27. Garratt, Anthony & Lee, Kevin & Mise, Emi & Shields, Kalvinder, 2009. "Real time representation of the UK output gap in the presence of model uncertainty," International Journal of Forecasting, Elsevier, vol. 25(1), pages 81-102.
    28. Mr. Jens R Clausen & Bianca Clausen, 2010. "Simulating Inflation Forecasting in Real-Time: How Useful Is a Simple Phillips Curve in Germany, the UK, and the US?," IMF Working Papers 2010/052, International Monetary Fund.

  21. Shaun P. Vahey & James M. Nason, 2005. "Over the Top: U.K. World War I Finance and Its Aftermath," Computing in Economics and Finance 2005 22, Society for Computational Economics.

    Cited by:

    1. James M Nason & Shaun P Vahey, 2007. "The McKenna Rule and UK World War I Finance," Reserve Bank of New Zealand Discussion Paper Series DP2007/08, Reserve Bank of New Zealand.

  22. Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics 0338, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    2. Marchesi, Silvia, 2000. "Buybacks of domestic debt in public debt management," Economic Research Papers 269344, University of Warwick - Department of Economics.
    3. Michael Papaioannou, 2011. "Sovereign debt portfolios: risks and liability management operations," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(3), pages 354-360.

  23. Loukoianova, E. & Vahey, S.P. & Elizabeth C. Wakerly, 2002. "A Real Time Tax Smoothing Based Fiscal Policy Rule," Cambridge Working Papers in Economics 0235, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Jacopo Cimadomo, 2011. "Real-Time Data and Fiscal Policy Analysis: a Survey of the Literature," Working Papers 2011-20, CEPII research center.
    2. ​pierre Aldama & Jérôme Creel, 2020. "Asymmetric Macroeconomic Stabilization And Fiscal Consolidation In The Oecd And The Euro Area," Sciences Po publications 09/2020, Sciences Po.
    3. Cimadomo, Jacopo, 2008. "Fiscal policy in real time," Working Paper Series 919, European Central Bank.
    4. Dean Croushore & Simon van Norden, 2014. "Fiscal policy: ex ante and ex post," Working Papers 14-22, Federal Reserve Bank of Philadelphia.
    5. Aldama, Pierre & Creel, Jérôme, 2022. "Real-time fiscal policy responses in the OECD from 1997 to 2018: Procyclical but sustainable?," European Journal of Political Economy, Elsevier, vol. 73(C).

  24. Egginton, Donald & Andreas Pick & Shaun P. Vahey, 2002. "Keep It Real!: A Real-time UK Macro Data Set," Royal Economic Society Annual Conference 2002 69, Royal Economic Society.

    Cited by:

    1. Christopher Adam & David Cobham & Eric Girardin, 2005. "Monetary Frameworks and Institutional Constraints: UK Monetary Policy Reaction Functions, 1985–2003," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(4), pages 497-516, August.
    2. Richard Harrison & George Kapetanios, 2004. "Forecasting with Measurement Errors in Dynamic Models," Working Papers 521, Queen Mary University of London, School of Economics and Finance.
    3. Anesti, Nikoleta & Galvao, Ana Beatriz & Miranda-Agrippino, Silvia, 2018. "Uncertain kingdom: nowcasting GDP and its revisions," LSE Research Online Documents on Economics 90382, London School of Economics and Political Science, LSE Library.
    4. Alex Nikolsko-Rzhevskyy, 2011. "Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(5), pages 871-897, August.
    5. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
    6. Harchaoui, Tarek M., 2012. "A Quarter of a Century Progress Report on the Services Sector Productivity Statistics. A Europe-United States Perspective," GGDC Research Memorandum GD-125, Groningen Growth and Development Centre, University of Groningen.
    7. Anthony Garratt & Shaun P Vahey, 2006. "UK Real-Time Macro Data Characteristics," Economic Journal, Royal Economic Society, vol. 116(509), pages 119-135, February.
    8. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    9. Nikolsko-Rzhevskyy, Alex, 2008. "Monetary Policy Evaluation in Real Time: Forward-Looking Taylor Rules Without Forward-Looking Data," MPRA Paper 11352, University Library of Munich, Germany.
    10. Coe, P.J. & Pesaran, M.H. & Vahey, S.P., 2003. "Scope for Cost Minimization in Public Debt Management: the Case of the UK," Cambridge Working Papers in Economics 0338, Faculty of Economics, University of Cambridge.
    11. Christopher Adam & David Cobham, 2009. "Using Real-Time Output Gaps To Examine Past And Future Policy Choices," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 98-110, October.
    12. Denis Shibitov & Mariam Mamedli, 2021. "Forecasting Russian Cpi With Data Vintages And Machine Learning Techniques," Bank of Russia Working Paper Series wps70, Bank of Russia.
    13. George Kapetanios & Tony Yates, 2004. "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England working papers 238, Bank of England.
    14. Nelson, Edward & Nikolov, Kalin, 2001. "UK Inflation in the 1970s and 1980s: The Role of Output Gap Mismeasurement," CEPR Discussion Papers 2999, C.E.P.R. Discussion Papers.
    15. Dirk Ulbricht, 2016. "It is not structural breaks that earn average forecasts their fame," Economics Bulletin, AccessEcon, vol. 36(2), pages 1250-1259.
    16. Ronald Indergand & Stefan Leist, 2014. "A Real-Time Data Set for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(IV), pages 331-352, December.
    17. Jan Jacobs & Jan-Egbert Sturm, 2005. "Do Ifo Indicators Help Explain Revisions in German Industrial Production?," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 93-114, Springer.
    18. George Kapetanios & Tony Yates, 2010. "Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 869-893.
    19. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
    20. Adriana Fernandez & Evan F. Koenig & Alex Nikolsko-Rzhevskyy, 2011. "A real-time historical database for the OECD," Globalization Institute Working Papers 96, Federal Reserve Bank of Dallas.
    21. Steve Cook, 2008. "Cross‐data‐vintage Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 849-865, December.
    22. Camila Figueroa & Pablo García, 2017. "Desafíos de la Política Monetaria Sistemática," Economic Policy Papers Central Bank of Chile 64, Central Bank of Chile.
    23. Nikoleta Anesti & Ana Beatriz Galvão & Silvia Miranda‐Agrippino, 2022. "Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 42-62, January.
    24. Mr. Jens R Clausen & Bianca Clausen, 2010. "Simulating Inflation Forecasting in Real-Time: How Useful Is a Simple Phillips Curve in Germany, the UK, and the US?," IMF Working Papers 2010/052, International Monetary Fund.

  25. Coe, P. & Pesaran, M.H. & Vahey, S.P., 2000. "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," Cambridge Working Papers in Economics 0005, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Marchesi, Silvia, 2000. "Buybacks of domestic debt in public debt management," Economic Research Papers 269344, University of Warwick - Department of Economics.
    2. Coe, P. & Vahey S.P. & Wakerly, E.C., 2000. "The Transparency and Accountability of UK Debt Management: A Proposal," Cambridge Working Papers in Economics 0028, Faculty of Economics, University of Cambridge.

  26. Danny Quah & Shaun Vahey, 1995. "Measuring Core Inflation," Bank of England working papers 31, Bank of England.

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    1. Carlos Felipe Jaramillo & Edgar Caicedo & Adolfo Cobo & Andrés González & Munir Jalil & Juan Manuel Julio & Luis Fernando Melo, 1999. "La Inflación Básica en Colombia: Evaluación de Indicadores Alternativos," Borradores de Economia 136, Banco de la Republica de Colombia.
    2. Souvik Gupta & Mr. Magnus Saxegaard, 2009. "Measures of Underlying Inflation in Sri Lanka," IMF Working Papers 2009/167, International Monetary Fund.
    3. Bruneau, C. & De Bandt, O., 1999. "Fiscal Policy in the Transition to Monetary Union: a Structural VAR Model," Working papers 60, Banque de France.
    4. Scott Roger, 1998. "Core inflation: concepts, uses and measurement," Reserve Bank of New Zealand Discussion Paper Series G98/9, Reserve Bank of New Zealand.
    5. Nessén, Marianne & Söderström, Ulf, 2000. "Core Inflation and Monetary Policy," Working Paper Series 110, Sveriges Riksbank (Central Bank of Sweden).
    6. Svensson, Lars E O, 1996. "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets," CEPR Discussion Papers 1511, C.E.P.R. Discussion Papers.
    7. Bagliano, Fabio C. & Morana, Claudio, 2003. "Measuring US core inflation: A common trends approach," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 197-212, June.
    8. Ellison, Martin & Valla, Natacha, 2000. "Learning, uncertainty and central bank activism in an economy with strategic interactions," Working Paper Series 28, European Central Bank.
    9. da Silva Filho, Tito Nícias Teixeira & Figueiredo, Francisco Marcos Rodrigues, 2011. "Has Core Inflation Been Doing a Good Job in Brazil?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(2), June.
    10. Mr. Emil Stavrev, 2006. "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers 2006/197, International Monetary Fund.
    11. Bermingham, Colin, 2006. "How Useful is Core Inflation for Forecasting Headline Inflation?," Research Technical Papers 11/RT/06, Central Bank of Ireland.
    12. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    13. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
    14. Ashima Goyal & Sritama Ray, 2022. "Exploring correlations between aggregate demand and supply shocks in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-004, Indira Gandhi Institute of Development Research, Mumbai, India.
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    112. Prasanna Gai, 1996. "International Bank Lending to LDCs - an Information-Based Approach," Bank of England working papers 43, Bank of England.
    113. Hasan Bakhshi & Tony Yates, 1999. "To trim or not to trim? An application of a trimmmed mean inflation estimator to the United Kingdom," Bank of England working papers 97, Bank of England.
    114. Bruneau, Catherine & De Bandt, Olivier, 2003. "Monetary and fiscal policy in the transition to EMU: what do SVAR models tell us?," Economic Modelling, Elsevier, vol. 20(5), pages 959-985, September.
    115. Joanne Cutler, 2001. "Core Inflation in the UK," Discussion Papers 03, Monetary Policy Committee Unit, Bank of England.
    116. Christopher J. Neely & Christopher J. Waller, 1997. "A Benefit‐Cost Analysis Of Disinflation," Contemporary Economic Policy, Western Economic Association International, vol. 15(1), pages 50-64, January.
    117. mhamdi, ghrissi, 2014. "Indicators of core inflation: Case of Tunisia," MPRA Paper 63477, University Library of Munich, Germany.
    118. Wojciech Charemza & Svetlana Makarova & Imran Shah, 2013. "Frequent episoded of high inflation and real effects," EcoMod2013 5478, EcoMod.
    119. Ibrahim Ayoade Adekunle & Anthony Emeka Elekeokwuri & Serifat Olukorede Onayemi, 2020. "Stability in Stock Market Prices and Monetary Policy in Nigeria; What Does the Empirics Say?," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 2-13, August.
    120. Bermingham, Colin, 2010. "A critical assessment of existing estimates of US core inflation," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 993-1007, December.
    121. Salas, Jorge, 2009. "¿Qué explica las fluctuaciones de la inflación en el Perú en el periodo 2002-2008? Evidencia de un análisis VAR estructural," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 9-36.
    122. Stefano Siviero & Giovanni Veronese, 2011. "A policy-sensible benchmark core inflation measure," Oxford Economic Papers, Oxford University Press, vol. 63(4), pages 648-672, December.
    123. Jamie Armour, 2006. "An Evaluation of Core Inflation Measures," Staff Working Papers 06-10, Bank of Canada.
    124. Clive Briault & Andrew Haldane & Mervyn A. King, 1997. "Independence and Accountability," Palgrave Macmillan Books, in: Iwao Kuroda (ed.), Towards More Effective Monetary Policy, chapter 10, pages 299-340, Palgrave Macmillan.
    125. Pelin Berkmen, 2002. "Measuring Core Inflation for Turkey - Trimmed Means Approach," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 1-18.
    126. Turgut Kisinbay & Mr. Eric Parrado & Mr. Rodolfo Maino & Mr. Jorge I Canales Kriljenko, 2006. "Setting the Operational Framework for Producing Inflation Forecasts," IMF Working Papers 2006/122, International Monetary Fund.
    127. Sigal Ribon, 2009. "Core Inflation Indices for Israel," Bank of Israel Working Papers 2009.08, Bank of Israel.
    128. Gaytán González Alejandro & González García Jesús R., 2006. "Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach," Working Papers 2006-06, Banco de México.
    129. Spencer Dale & Marco Rossi, 1996. "A Market for Intra-day Funds: Does it Have Implications for Monetary Policy?," Bank of England working papers 46, Bank of England.
    130. Lau, Sau-Him Paul, 2008. "Using an error-correction model to test whether endogenous long-run growth exists," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 648-676, February.
    131. Franklin Allen & Elena Carletti, 2008. "The role of liquidity in financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 379-412.
    132. Craigwell, Roland & Moore, Winston & Morris, Diego & Worrell, DeLisle, 2011. "Price Rigidity: A Survey of Evidence From Micro-Level Data," MPRA Paper 40927, University Library of Munich, Germany.
    133. Marlene Amstad & Simon M. Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.
    134. Abdul Aleem & Amine Lahiani, 2011. "Estimation and evaluation of core inflation measures," Applied Economics, Taylor & Francis Journals, vol. 43(25), pages 3619-3629.
    135. Mr. Emil Stavrev, 2009. "Forces Driving Inflation in the New EU10 Members," IMF Working Papers 2009/051, International Monetary Fund.
    136. Oscar Díaz Q. & Marco Laguna V., 2007. "Factores que explican la reducción de las tasas pasivas de interés en el sistema bancario boliviano," Monetaria, CEMLA, vol. 0(4), pages 331-366, octubre-d.
    137. Joanna Paisley & Chris Salmon, 1995. "How Cyclical is the PSBR?," Bank of England working papers 34, Bank of England.
    138. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    139. Pelinescu, Elena & Dospinescu, Andrei Silviu, 2008. "Alternative Measures of Core Inflation in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 134-148, March.
    140. Marlene Amstad & Simon Potter & Robert Rich, 2014. "The FRBNY Staff Underlying Inflation Gauge: UIG," BIS Working Papers 453, Bank for International Settlements.
    141. Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.
    142. Eliana R. González-Molano & Ramón Hernández-Ortega & Edgar Caicedo-García & Nicolás Martínez-Cortés & Jose Vicente Romero & Anderson Grajales-Olarte, 2020. "Nueva Clasificación del BANREP de la Canasta del IPC y revisión de las medidas de Inflación Básica en Colombia," Borradores de Economia 1122, Banco de la Republica de Colombia.
    143. Marco Bianchi, 1996. "A Comparison of Methods for Seasonal Adjustment of the Monetary Aggregates," Bank of England working papers 44, Bank of England.
    144. Renato Filosa, 2001. "Monetary policy rules in some emerging economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 39-68, Bank for International Settlements.
    145. Mick Silver, 2006. "Core Inflation Measures and Statistical Issues in Choosing Among Them," IMF Working Papers 2006/097, International Monetary Fund.
    146. Jean-Charles Rochet, 2008. "Commentary : rethinking capital regulation," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 473-483.
    147. Durai, S. Raja Sethu & Ramachandran, M., 2007. "Core inflation for India," Journal of Asian Economics, Elsevier, vol. 18(2), pages 365-383, April.
    148. Ladi R. Bala-Keffi & Donald G. Mbaka & Nuruddeen Usman, 2020. "Alternative Core Inflation Measures in Nigeria: An Examination," Applied Economics and Finance, Redfame publishing, vol. 7(4), pages 112-120, July.
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    150. Peter R. Fisher, 2008. "Commentary : the role of liquidity in financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 413-422.
    151. Mariano Matilla-Garcia, 2005. "A SVAR model for estimating core inflation in the Euro zone," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 149-154.
    152. Stan du Plessis, 2014. "Targeting core inflation in emerging market economies," Working Papers 23/2014, Stellenbosch University, Department of Economics.
    153. David Barr & Bahram Pesaran, 1995. "An assessment of the relative importance of real interest rates, inflation and term premia in determining the prices of real and nominal UK bonds," Bank of England working papers 32, Bank of England.
    154. Joice John & Abhiman Das & Sanjay Singh, 2016. "An Application of Quah and Vahey’s SVAR Methodology for Estimating Core Inflation in India: A Note," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 151-158, June.
    155. Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute.
    156. Danny Quah & Danny Quah & Shaun P. Vahey, 1995. "Measuring Core Inflation," CEP Discussion Papers dp0254, Centre for Economic Performance, LSE.
    157. Luis J. Álvarez & María de los Llanos Matea, 1999. "Underlying Inflation Measures in Spain," Working Papers 9911, Banco de España.
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    162. Le Bihan, Herve & Sedillot, Franck, 2000. "Do core inflation measures help forecast inflation?: Out-of-sample evidence from French data," Economics Letters, Elsevier, vol. 69(3), pages 261-266, December.
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Articles

  1. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023. "Reassessing the dependence between economic growth and financial conditions since 1973," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
    See citations under working paper version above.
  2. Garratt, Anthony & Henckel, Timo & Vahey, Shaun P., 2023. "Empirically-transformed linear opinion pools," International Journal of Forecasting, Elsevier, vol. 39(2), pages 736-753.
    See citations under working paper version above.
  3. Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2019. "Real‐time forecast combinations for the oil price," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.
    See citations under working paper version above.
  4. Michael S. Smith & Shaun P. Vahey, 2016. "Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 416-434, July.

    Cited by:

    1. Pauwels, Laurent & Radchenko, Peter & Vasnev, Andrey, 2019. "Higher Moment Constraints for Predictive Density Combinations," Working Papers BAWP-2019-01, University of Sydney Business School, Discipline of Business Analytics.
    2. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023. "Reassessing the dependence between economic growth and financial conditions since 1973," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
    3. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2022. "Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions," CEPR Discussion Papers 17512, C.E.P.R. Discussion Papers.
    4. Marcellino, Massimiliano & Bai, Yu & Carriero, Andrea & Clark, Todd, 2022. "Macroeconomic Forecasting in a Multi-country Context," CEPR Discussion Papers 16994, C.E.P.R. Discussion Papers.
    5. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    6. Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2018. "Trending Mixture Copula Models with Copula Selection," IRTG 1792 Discussion Papers 2018-057, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
    8. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.
    9. Galbraith, John W. & van Norden, Simon, 2019. "Asymmetry in unemployment rate forecast errors," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1613-1626.
    10. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    11. Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2021. "Systemic risk measures and distribution forecasting of macroeconomic shocks," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 178-196.
    12. Anthoulla Phella, 2020. "Consistent Specification Test of the Quantile Autoregression," Papers 2010.03898, arXiv.org, revised Jan 2024.
    13. Bo Zhang, 2019. "Real‐time inflation forecast combination for time‐varying coefficient models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(3), pages 175-191, April.
    14. Smith, Michael Stanley & Shively, Thomas S., 2018. "Econometric modeling of regional electricity spot prices in the Australian market," Energy Economics, Elsevier, vol. 74(C), pages 886-903.
    15. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    16. Ruben Loaiza-Maya & Michael Stanley Smith, 2017. "Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series," Papers 1712.09150, arXiv.org, revised Jul 2018.
    17. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Michael Stanley Smith, 2021. "Implicit Copulas: An Overview," Papers 2109.04718, arXiv.org.
    19. George Athanasopoulos & Puwasala Gamakumara & Anastasios Panagiotelis & Rob J Hyndman & Mohamed Affan, 2019. "Hierarchical Forecasting," Monash Econometrics and Business Statistics Working Papers 2/19, Monash University, Department of Econometrics and Business Statistics.
    20. Smith, Michael Stanley, 2023. "Implicit Copulas: An Overview," Econometrics and Statistics, Elsevier, vol. 28(C), pages 81-104.
    21. Lo, Simon M.S. & Mammen, Enno & Wilke, Ralf A., 2020. "A nested copula duration model for competing risks with multiple spells," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
    22. Hans Genberg & Özer Karagedikli, 2021. "Machine Learning and Central Banks: Ready for Prime Time?," Working Papers wp43, South East Asian Central Banks (SEACEN) Research and Training Centre.
    23. Czado, Claudia & Ivanov, Eugen & Okhrin, Yarema, 2019. "Modelling temporal dependence of realized variances with vines," Econometrics and Statistics, Elsevier, vol. 12(C), pages 198-216.

  5. Ravazzolo Francesco & Vahey Shaun P., 2014. "Forecast densities for economic aggregates from disaggregate ensembles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 1-15, September.
    See citations under working paper version above.
  6. Garratt, Anthony & Mitchell, James & Vahey, Shaun P., 2014. "Measuring output gap nowcast uncertainty," International Journal of Forecasting, Elsevier, vol. 30(2), pages 268-279.
    See citations under working paper version above.
  7. James M. Nason & Shaun P. Vahey, 2012. "UK World War I and interwar data for business cycle and growth analysis," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 6(2), pages 115-142, May.
    See citations under working paper version above.
  8. Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011. "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1659-1670, October.
    See citations under working paper version above.
  9. Garratt, Anthony & Mitchell, James & Vahey, Shaun P. & Wakerly, Elizabeth C., 2011. "Real-time inflation forecast densities from ensemble Phillips curves," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 77-87, January.
    See citations under working paper version above.
  10. Anne Sofie Jore & James Mitchell & Shaun P. Vahey, 2010. "Combining forecast densities from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 621-634.
    See citations under working paper version above.
  11. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2010. "RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 113-136, February.
    See citations under working paper version above.
  12. Garratt, Anthony & Koop, Gary & Mise, Emi & Vahey, Shaun P., 2009. "Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 480-491.
    See citations under working paper version above.
  13. Anthony Garratt & Gary Koop & ShaunP. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
    See citations under working paper version above.
  14. Garratt, Anthony & Lee, Kevin & Vahey, Shaun, 2008. "Real-time probability forecasts of UK macroeconomic events," National Institute Economic Review, National Institute of Economic and Social Research, vol. 203, pages 78-90, January.

    Cited by:

    1. Kevin Lee, Nilss Olekalns, Kalvinder Shields and Zheng Wang, 2011. "The Australian Real?Time Datbase: An Overview and an Illustration of its Use in Business Cycle Analysis," Department of Economics - Working Papers Series 1132, The University of Melbourne.

  15. Shaun P. Vahey & James M. Nason, 2007. "The McKenna Rule and UK World War I Finance," American Economic Review, American Economic Association, vol. 97(2), pages 290-294, May.
    See citations under working paper version above.
  16. Anthony Garratt & Shaun P Vahey, 2006. "UK Real-Time Macro Data Characteristics," Economic Journal, Royal Economic Society, vol. 116(509), pages 119-135, February.
    See citations under working paper version above.
  17. Patrick J. Coe & M. Hashem Pesaran & Shaun P. Vahey, 2005. "The Cost Effectiveness of the UK's Sovereign Debt Portfolio," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(4), pages 467-495, August.

    Cited by:

    1. Davide Dottori & Michele Manna, 2015. "Strategy and tactics in public debt management," Temi di discussione (Economic working papers) 1005, Bank of Italy, Economic Research and International Relations Area.
    2. Mita Bhattacharya & John Inekwe, 2021. "Convergence in Sovereign Debt Defaults: Quantifying the Roles of Institutions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 792-811, June.

  18. Vahey, Shaun P., 2004. "Signalling ability to pay and rent sharing dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2327-2339, October.

    Cited by:

    1. Harkin, Sean M. & Mare, Davide S. & Crook, Jonathan N., 2017. "Average Pay in Banks: Do Agency Problems and Bank Performance Matter?," MPRA Paper 81249, University Library of Munich, Germany.

  19. Shaun P. Vahey & Andreas Pick & Don M. Egginton, 2001. ""Keep it real!": A real-time UK macro data set," Economics Bulletin, AccessEcon, vol. 28(18), pages 1.
    See citations under working paper version above.
  20. Vahey, Shaun P., 2000. "The great Canadian training robbery: evidence on the returns to educational mismatch," Economics of Education Review, Elsevier, vol. 19(2), pages 219-227, April.

    Cited by:

    1. Rubb, S., 2003. "Overeducation in the labor market: a comment and re-analysis of a meta-analysis," Economics of Education Review, Elsevier, vol. 22(6), pages 621-629, December.
    2. Eleni Kalfa & Matloob Piracha, 2017. "Immigrants’ educational mismatch and the penalty of over-education," Education Economics, Taylor & Francis Journals, vol. 25(5), pages 462-481, September.
    3. Yip, Chi Man, 2010. "Can't SBTC explain the U.S. wage inequality dynamics?," MPRA Paper 31198, University Library of Munich, Germany.
    4. Chiswick, Barry R. & Miller, Paul W., 2010. "Educational Mismatch: Are High-Skilled Immigrants Really Working at High-Skilled Jobs and the Price They Pay if They Aren’t?," SULCIS Working Papers 2010:7, Stockholm University, Linnaeus Center for Integration Studies - SULCIS.
    5. Ian W. Li & Paul W. Miller, 2012. "Gender Discrimination in the Australian Graduate Labour Market," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 15(3), pages 167-199.
    6. Pérez Navarro, Marco Aurelio, 2021. "University graduates’ job-education mismatches in the Spanish labour market," MPRA Paper 109881, University Library of Munich, Germany.
    7. Peter Galasi, 2008. "The effect of educational mismatch on wages for 25 countries," Budapest Working Papers on the Labour Market 0808, Institute of Economics, Centre for Economic and Regional Studies.
    8. Yakusheva, Olga, 2010. "Return to college education revisited: Is relevance relevant?," Economics of Education Review, Elsevier, vol. 29(6), pages 1125-1142, December.
    9. Daniel P. McMillen & Paul T. Seaman & Larry D. Singell, 2007. "A Mismatch Made in Heaven: A Hedonic Analysis of Overeducation and Undereducation," Southern Economic Journal, John Wiley & Sons, vol. 73(4), pages 901-930, April.
    10. Jian Z. Yeo & Sholeh A. Maani, 2017. "Educational mismatches and earnings in the New Zealand labour market," New Zealand Economic Papers, Taylor & Francis Journals, vol. 51(1), pages 28-48, January.
    11. Yi Zhang & Martin Salm & Arthur Soest, 2021. "The effect of training on workers’ perceived job match quality," Empirical Economics, Springer, vol. 60(5), pages 2477-2498, May.
    12. Steven Wald & Tony Fang, 2008. "Overeducated Immigrants in the Canadian Labour Market: Evidence from the Workplace and Employee Survey," Canadian Public Policy, University of Toronto Press, vol. 34(4), pages 457-480, December.
    13. Frenette, Marc, 2004. "The overqualified Canadian graduate: the role of the academic program in the incidence, persistence, and economic returns to overqualification," Economics of Education Review, Elsevier, vol. 23(1), pages 29-45, February.
    14. Boll, Christina & Leppin, Julian Sebastian, 2013. "Unterwertige Beschäftigung von Akademikerinnen und Akademikern: Umfang, Ursachen, Einkommenseffekte und Beitrag zur geschlechtsspezifischen Lohnlücke," HWWI Policy Papers 75, Hamburg Institute of International Economics (HWWI).
    15. Paulina Broniatowska, 2021. "Wage Effects of Overeducation: Evidence from Poland," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(1), pages 25-53, March.
    16. Christina Boll & Julian Sebastian Leppin, 2016. "Differential Overeducation in East and West Germany: Extending Frank's Theory on Economic Returns Changes the Picture of Disadvantaged Women," LABOUR, CEIS, vol. 30(4), pages 455-504, December.
    17. Galasi, Péter, 2004. "Túlképzés, alulképzés és bérhozam a magyar munkaerőpiacon, 1994-2002 [Over-education, under-education and wage premiums on the Hungarian labour market, 1994-2002]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 449-471.
    18. Galasi, Péter, 2009. "A túl- és az alulképzés bérhozama 25 európai országban [Returns for over-education and under-education for 25 European countries]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 197-215.
    19. Ian W. Li & Paul W. Miller, 2015. "Overeducation and earnings in the Australian graduate labour market: an application of the Vahey model," Education Economics, Taylor & Francis Journals, vol. 23(1), pages 63-83, February.
    20. Lourdes Badillo-Amador & Antonio García-Sánchez & Luis Vila, 2005. "Mismatches in the Spanish Labor Market: Education vs. Competence Match," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 11(1), pages 93-109, February.
    21. Claude Montmarquette & Laure Thomas, 2003. "Surqualification et sous-qualification des travailleurs sur le marché du travail : le cas du Québec et de l'Ontario en 1991 et 1996," CIRANO Project Reports 2003rp-13, CIRANO.
    22. Kopatz, Susanne & Pilz, Matthias, 2015. "The Academic Takes it All? A Comparison of Returns to Investment in Education between Graduates and Apprentices in Canada," International Journal for Research in Vocational Education and Training (IJRVET), European Research Network in Vocational Education and Training (VETNET), European Educational Research Association, vol. 2(4), pages 308-325.
    23. Chiswick, Barry R. & Miller, Paul W., 2009. "Does the Choice of Reference Levels of Education Matter in the ORU Earnings Equation?," IZA Discussion Papers 4382, Institute of Labor Economics (IZA).
    24. S.D. Kapelyuk & E.N. Lishchuk, 2020. "The Scale of Overeducation in the Rural Labor Market," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 19(3), pages 370-397.
    25. Séamus McGuinness, 2006. "Overeducation in the Labour Market," Journal of Economic Surveys, Wiley Blackwell, vol. 20(3), pages 387-418, July.

  21. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.
    See citations under working paper version above.

Chapters

  1. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.

    Cited by:

    1. Reto Cueni & Bruno S. Frey, 2014. "Forecasts and Reactivity," CREMA Working Paper Series 2014-10, Center for Research in Economics, Management and the Arts (CREMA).

  2. Francesco Ravazzolo & Shaun P Vahey, 2010. "Measuring Core Inflation in Australia with Disaggregate Ensembles," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.

    Cited by:

    1. Leon, Jorge, 2012. "A Disaggregate Model and Second Round Effects for the CPI Inflation in Costa Rica," MPRA Paper 44484, University Library of Munich, Germany, revised 2012.

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