6 papers · 1 filter
Monetary Policy in the Media Spotlight: Sentiments, Signals, and Economic Impact
Firmin Ayivodji, Etienne Briand, Kevin Moran +1
News media coverage of monetary policy is not a passive transcript of central-bank communication: it filters announcements, macroeconomic news, and editorial choices into narrative…
Who Saw It Coming? Historical Experience and the 2021 Inflation Forecast Failure
Dalibor Stevanovic
This paper studies the 2021 U.S. inflation forecasting failure. I show that the failure was primarily driven by sample composition rather than functional-form misspecification: est…
Origins and Nature of Macroeconomic Instability in Vector Autoregressions
Pooyan Amir-Ahmadi, Marko Mlikota, Dalibor Stevanović
For a general class of dynamic and stochastic structural models, we show that (i) non-linearity in economic dynamics is a necessary and sufficient condition for time-varying parame…
Can Machine Learning Catch the COVID-19 Recession?
Philippe Goulet Coulombe, Massimiliano Marcellino, Dalibor Stevanovic
Based on evidence gathered from a newly built large macroeconomic data set for the UK, labeled UK-MD and comparable to similar datasets for the US and Canada, it seems the most pro…
How is Machine Learning Useful for Macroeconomic Forecasting?
Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic +1
We move beyond "Is Machine Learning Useful for Macroeconomic Forecasting?" by adding the "how". The current forecasting literature has focused on matching specific variables and ho…
Macroeconomic Data Transformations Matter
Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic +1
In a low-dimensional linear regression setup, considering linear transformations/combinations of predictors does not alter predictions. However, when the forecasting technology eit…