Informace o projektu
Dynamic forecast averaging of macroeconomic models
- Kód projektu
- GA17-14263S
- Období řešení
- 1/2017 - 12/2019
- Investor / Programový rámec / typ projektu
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Grantová agentura ČR
- Standardní projekty
- Fakulta / Pracoviště MU
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Ekonomicko-správní fakulta
- Univ.-Prof. Dr. Jesús Crespo Cuaresma
- doc. Ing. Jan Čapek, Ph.D.
- Florian Huber, PhD
- Lóránt Kaszab, Ph.D.
- Ing. Aleš Maršál, M.A.
- Ing. Mgr. Vlastimil Reichel, Ph.D.
- Mgr. Martin Slanicay, Ph.D.
The forecasting literature has gained new momentum in the last decade, when newly developed DSGE (Dynamic Stochastic General Equilibrium) models started to forecast so well that their forecast performance began to compete with purely empirical models. It has been shown that averaging across DSGE and time series models may achieve better forecasting properties than the single best specification across all model classes. The forecasting performance of DSGE models varies over time. Still, we can make use of these estimates to improve the forecasting accuracy. We aim to address the shortcomings of the prevailing methodology by combining a large set of empirical and theoretical models to forecast macroeconomic quantities in all major economies. As compared to the literature, the comparatively larger model space calls for more efficient algorithms that efficiently combine the predictions obtained from individual models. We plan to introduce new combination schemes that incorporate several stylized facts commonly observed in the macroeconomic forecasting literature.
Publikace
Počet publikací: 9
2023
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Macroeconomic forecasting in the euro area using predictive combinations of DSGE models
INTERNATIONAL JOURNAL OF FORECASTING, rok: 2023, ročník: 39, vydání: 4, DOI
2022
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Fiscal multipliers in a small open economy: the case of Austria
OXFORD ECONOMIC PAPERS-NEW SERIES, rok: 2022, ročník: 74, vydání: 2, DOI
2020
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Determinants of fiscal multipliers revisited
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Trend Fundamentals and Exchange Rate Dynamics
Economica, rok: 2020, ročník: 87, vydání: 348, DOI
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We just estimated twenty million fiscal multipliers
Oxford Bulletin of Economics and Statistics, rok: 2020, ročník: 82, vydání: 3, DOI
2018
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Debt regimes and the effectiveness of monetary policy
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, rok: 2018, ročník: 93, vydání: SI, DOI
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Predicting crypto-currencies using sparse non-Gaussian state space models
JOURNAL OF FORECASTING, rok: 2018, ročník: 37, vydání: 6, DOI
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We just estimated twenty million fiscal multipliers
Rok: 2018, druh: Účelové publikace
2017
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I just estimated twenty million fiscal multipliers
Rok: 2017, druh: Konferenční abstrakty