Sökning: "BVAR"

Hittade 5 uppsatser innehållade ordet BVAR.

1. 1. Does industry survey data improve GDP forecasting?

   Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

   Författare :Oscar Andersson; Ludvig Fornstedt; [2024-03-06]
   Nyckelord :Bayesian; BVAR; Forecasting; GDP; survey data;

   Sammanfattning : This study assesses the integration of industry survey data into Bayesian Vector Auto Regressive (BVAR) models for GDP forecasting in Sweden. Analyzing a combination of macro economic indicators, CPI and unemployment rates, with survey data from NIER, it explores the effects of different variable combinations on the forecasting ability of different models. LÄS MER

3. 2. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Anny Eklund; Markus Sallkvist; [2024]
   Nyckelord :Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

   Sammanfattning : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. LÄS MER

4. 3. Nowcasting U.S. Inflation: The Role of Online Retail Prices

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Edvin Ahlander; Eric Axdorph; [2021]
   Nyckelord :Inflation; Nowcasting; Mixed-Frequency Models; Online Retail Prices;

   Sammanfattning : We examine whether high-frequency online retail price data contributes to more accurate nowcasts of the U.S. inflation rate, as given by the monthly change in the Consumer Price Index, when other commonly considered variables for predicting inflation already have been taken into account. LÄS MER

5. 4. The Use of Judgment Versus Models: Forecasting Accuracy in Sveriges Riksbank 2010-2014

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Emma Hamre; Sandra Lanros; [2020]
   Nyckelord :Forecasting; Central Banks; Judgment; Monetary Policy;

   Sammanfattning : In this study, we ask, how did the use of judgments and models affect the accuracy of the Riksbank's forecasts during the years 2010-2014? We examine the two components, judgment and models, that determine the Sveriges Riksbank's published forecasts for three macro indicators: GDP growth, CPIF inflation and the repo rate. The analysis compares the relative forecasting accuracy of the central bank's primary models, DSGE and BVAR, and the final published forecasts containing the judgmental adjustments of the Riksbank's Executive Board. LÄS MER

7. 5. COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS

   Magister-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Alessio Belloni; [2017]
   Nyckelord :;

   Sammanfattning : ThispaperaimstocomparetheforecastingperformanceofthewidelyusedVARandBayesian VAR model to the unrestricted MIDAS regression. The models are tested on a real-time macroeconomic data set ranging from 2000 to 2015. LÄS MER