Nowcasting Forecasting

Richard A. Meese · Kenneth Rogoff

Across the dollar/mark, dollar/pound, dollar/yen and trade-weighted dollar rates over November 1976 to June 1981, no structural exchange rate model, univariate time series model, vector autoregression …

Barbara Rossi

Asked whether anything forecasts exchange rates, this survey's answer is "it depends" -- on the predictor, the horizon, the sample, the model and the evaluation test. Predictability shows up most …

Andrea Carriero · Todd E. Clark · Massimiliano Marcellino

This 2019 Journal of Econometrics paper by Andrea Carriero, Todd Clark, and Massimiliano Marcellino develops a computationally efficient Markov Chain Monte Carlo (MCMC) algorithm for estimating large …

Julio L. Ortiz

Analyzing panel data from the U.S. Survey of Professional Forecasters (SPF, 1992Q1–2019Q4, 77 forecasters, 1,520 forecaster-quarter observations), Julio Ortiz finds that a "misspecified expectations" …

Maximilian Schröder

This paper introduces a Bayesian Gaussian mixture density regression framework that estimates the complete forecast distribution of inflation — not just selected quantiles — and decomposes the entire …

Benjamin M. Friedman · Kenneth N. Kuttner

This 1992 American Economic Review paper by Benjamin Friedman and Kenneth Kuttner asks whether money remains a reliable indicator of future nominal and real activity, and whether the predictive …

Gabriel Ehrlich · John Haltiwanger · Ron Jarmin · David Johnson · Ed Olivares · Luke Pardue · Matthew D. Shapiro · Laura Yi Zhao

This paper implements and evaluates methods for constructing quality-adjusted price indices from item-level retail scanner data at scale — across hundreds of product categories, heterogeneously …

Snehal Banerjee · Jesse Davis · Naveen Gondhi

Survey forecasts depart from rational expectations in ways that look contradictory: consensus forecasts under-react to news, individual forecasts of macroeconomic variables tend to over-react, and …

James H. Stock · Mark W. Watson

This 2001 Journal of Economic Perspectives paper by James Stock and Mark Watson reviews how vector autoregressions (VARs) have performed at the four core tasks of applied macroeconometrics — data …