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Elmar Mertens
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Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics 1–45.
Published: 05 March 2025
Abstract
View articletitled, Constructing Fan Charts from the Ragged Edge of SPF Forecasts
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for article titled, Constructing Fan Charts from the Ragged Edge of SPF Forecasts
We develop models that take point forecasts from the Survey of Professional Forecasters (SPF) as inputs and produce estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models combine fixed-horizon and fixed-event forecasts, accommodating time-varying horizons and availability of survey data, as well as potential inefficiencies in survey forecasts. The estimated term structures of SPF-consistent expectations are comparable in quality to the published, widely used short-horizon forecasts. Our estimates of time-varying forecast uncertainty reflect historical variations in realized errors of SPF point forecasts, and generate fan charts with reliable coverage rates.
Includes: Supplementary data
Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2024) 106 (5): 1403–1417.
Published: 06 September 2024
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Abstract
View articletitled, Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
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for article titled, Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard Bayesian vector autoregressions (BVARs). To address these issues, we propose BVAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data than standard BVARs. Predictive Bayes factors indicate that our outlier-augmented SV model provides the best fit for the pandemic period, as well as for earlier subsamples of high volatility. In historical forecasting, outlier-augmented SV schemes fare at least as well as a conventional SV model.
Includes: Supplementary data
Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2020) 102 (1): 17–33.
Published: 01 March 2020
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Abstract
View articletitled, Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
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for article titled, Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
We estimate uncertainty measures for point forecasts obtained from survey data, pooling information embedded in observed forecast errors for different forecast horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. We apply our method to forecasts for various macroeconomic variables from the Survey of Professional Forecasters. Compared to simple variance approaches, our stochastic volatility model improves the accuracy of uncertainty measures for survey forecasts.
Includes: Supplementary data
Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2016) 98 (5): 950–967.
Published: 01 December 2016
Abstract
View articletitled, Measuring the Level and Uncertainty of Trend Inflation
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for article titled, Measuring the Level and Uncertainty of Trend Inflation
Firmly anchored inflation expectations are widely viewed as playing a central role for the conduct of monetary policy. This paper presents estimates of trend inflation, based on information contained in monthly data on realized inflation, survey expectations, and the term structure of interest rates. In order to assess whether inflation expectations are anchored, a timevarying volatility of trend shocks is estimated as well. While there is some commonality in inflation- and survey-based estimates of trend inflation, yield-based trend estimates embed a highly persistent component orthogonal to trend inflation. Trimmed-mean inflation rates and survey forecasts are most indicative of trend inflation.
Includes: Supplementary data