Macroeconomic forecasting and structural change

Journal of Applied Econometrics - Tập 28 Số 1 - Trang 82-101 - 2013
Antonello D’Agostino1, Luca Gambetti2, Domenico Giannone3,4
1CBFSAI, European Central Bank, Frankfurt am Main, Germany
2Departament d' Economia i Història Econòmica, Universitat Autònoma de Barcelona, Spain
3CEPR, London, UK
4Université libre de Bruxelles—ECARES, Brussels, Belgium

Tóm tắt

SUMMARYThe aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated real‐time out‐of‐sample exercise using a time‐varying coefficients vector autoregression (VAR) with stochastic volatility to predict the inflation rate, unemployment rate and interest rate in the USA. The model generates accurate predictions for the three variables. In particular, the forecasts of inflation are much more accurate than those obtained with any other competing model, including fixed coefficients VARs, time‐varying autoregressions and the naïve random walk model. The results hold true also after the mid 1980s, a period in which forecasting inflation was particularly hard. Copyright © 2011 John Wiley & Sons, Ltd.

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Journal of Applied Econometrics

Tập 28 Số 1

82-101

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