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We study the inflation uncertainty reported by individual forecasters in the Survey of Professional Forecasters 1969-2001. Three popular measures of uncertainty built from survey data are analyzed in the context of models for forecasting and asset pricing, and improved estimation methods are suggested. Popular time series models are evaluated for their(More)
Adaptive Metropolis-Hastings samplers use information obtained from previous draws to tune the proposal distribution. The tuning is carried out automatically, often repeatedly, and continues after the burn-in period. Because the resulting chain is not Markovian, adaptation needs to be done carefully to ensure convergence to the correct ergodic distribution.(More)
Ten years ago – on 1 January 1999 – a number of legislative changes came into force that made the Riksbank more independent. As a result, the monetary policy decisions since then have been made by an Executive Board consisting of six members who are not permitted to seek or take instructions in the course of their work. These legislative changes can be seen(More)
Time series subject to parameter shifts of random magnitude and timing are commonly modeled with a change-point approach using Chib's (1998) algorithm to draw the break dates. We outline some advantages of an alternative approach in which breaks come through mixture distributions in state innovations, and for which the sampler of Gerlach, Carter and Kohn(More)
We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the time inconsistency of optimal monetary policy, the effects of(More)
Chestnut forest ecosystems represent an important component of the European Mediterranean basin and the Southern Alps landscape. Despite the good knowledge acquired in the phytosanitary and cultural aspects of chestnut, there is still a lack of data on the relationships between chestnut and epiphytes. We have investigated the changes in frequency of(More)
This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price. It proves that the omission of a measure of output gap (or(More)
In this paper our main aim is to quantify the role that housing collateral plays for the monetary transmission mechanism. Furthermore, we want to explore the implications of the increase in household indebtedness, and speci…cally the loan-to-value ratio, in the last two decades. We set up a two sector DSGE model with production of goods and housing.(More)
We introduce a non-Gaussian dynamic mixture model for macroeconomic forecasting. The locally adaptive signal extraction and regression (LASER) model is designed to capture relatively persistent AR processes (signal) contaminated by high frequency noise. The distribution of the innovations in both noise and signal is robustly modeled using mixtures of(More)