All Outputs (10)

Economic Conditions and Health: Local Effects, National Effect and Local Area Heterogeneity (2023)
Journal Article

We study the relationship between health and changing economic conditions in local areas using a GVAR model that allows for dynamic and interdependent responses to local and national economic conditions. We examine quarterly British data for 2002-201... Read More about Economic Conditions and Health: Local Effects, National Effect and Local Area Heterogeneity.

Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model (2022)
Journal Article

A ‘meta’ model of the exchange rate combines a range of models distinguished by the drivers of the rate and by regime duration. Alternative model weights are proposed, including those obtained from a novel non-nested hypothesis-testing technique that... Read More about Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model.

A Meta Model Analysis of Exchange Rate Determination (2022)
Book Chapter

A novel approach to modeling exchange rates is presented based on a set of models distinguished by the drivers of the rate and regime duration. The models are combined into a “meta model” using model averaging and non-nested hypothesis-testing techni... Read More about A Meta Model Analysis of Exchange Rate Determination.

Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries (2020)
Journal Article

This paper describes an approach to making fiscal policy decisions based on probabilistic statements on the likely occurrence of events as specified in a rules‐based framework for making fiscal adjustments. The event probability forecasts are obtaine... Read More about Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries.

The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy (2019)
Journal Article

This paper describes a fiscal database for Australia including measures of government spending, revenue, deecits, debt and various sub-aggregates as initially published and subsequently revised. The data vintages are collated from various sources and... Read More about The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy.

The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics (2018)
Journal Article

Output fluctuations in the G7 are characterised using a VAR model of countries' actual and expected outputs and uncertainty over these. New measures are developed to quantify the relative importance of economic prospects-versus-uncertainty, global-ve... Read More about The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics.

Evaluating the use of real-time data in forecasting output levels and recessionary events in the US (2018)
Journal Article

The paper proposes a modelling framework and evaluation procedure to judge the usefulness of real-time datasets incorporating past data vintages and survey expectations in forecasting. The analysis is based on `meta models' obtained using model-avera... Read More about Evaluating the use of real-time data in forecasting output levels and recessionary events in the US.

Information rigidities and the news-adjusted output gap (2016)
Journal Article

A vector-autoregressive model of actual output and expected output obtained from surveys is used to test for information rigidities and to provide a characterisation of output dynamics that accommodates these information structures. News on actual an... Read More about Information rigidities and the news-adjusted output gap.

Forecasting global recessions in a GVAR model of actual and expected output (2016)
Journal Article

We compare a Global VAR model of actual and expected outputs with alternative models to assess the role of cross-country interdependencies and confidence in forecasting. Forecast performance is judged on point and density forecasts of growth, on proba... Read More about Forecasting global recessions in a GVAR model of actual and expected output.

The meta Taylor rule (2015)
Journal Article

We characterise U.S. monetary policy within a generalized Taylor rule framework that accommodates uncertainties about the duration of policy regimes and the specification of the rule, in addition to the standard parameter and stochastic uncertainties... Read More about The meta Taylor rule.