[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication. (2021). Ferreira, Leonardo.
In: Working Papers Series.
RePEc:bcb:wpaper:559.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 33

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. gingado: a machine learning library focused on economics and finance. (2023). Godoy, Douglas Kiarelly.
    In: BIS Working Papers.
    RePEc:bis:biswps:1122.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Alessandri, P. and Mumtaz, H. (2017). Financial conditions and density forecasts for US output and inflation. Review of Economic Dynamics, 24:66–78.

  2. Bai, J. and Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1):191–221.

  3. Bańbura, M., Giannone, D., and Reichlin, L. (2010). Large Bayesian vector auto regressions. Journal of Applied Econometrics, 25(1):71–92.

  4. Bernanke, B. (2007). Federal reserve communications. Speech at the Cato Institute 25th Annual Monetary Conference, Washington, DC, November 14.
    Paper not yet in RePEc: Add citation now
  5. Bernanke, B. S., Boivin, J., and Eliasz, P. (2005). Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. The Quarterly Journal of Economics, 120(1):387–422.

  6. Bholat, D., Hans, S., Santos, P., and Schonhardt-Bailey, C. (2015). Text mining for central banks. Number 33 in Handbooks. Centre for Central Banking Studies, Bank of England.

  7. Blei, D. M. and Lafferty, J. D. (2006). Dynamic topic models. In Proceedings of the 23rd International Conference on Machine learning, pages 113–120.
    Paper not yet in RePEc: Add citation now
  8. Blei, D. M., Ng, A. Y., and Jordan, M. I. (2003). Latent dirichlet allocation. Journal of Machine Learning Research, 3(Jan):993–1022.
    Paper not yet in RePEc: Add citation now
  9. Blot, C. and Hubert, P. (2018). Central bank communication during normal and crisis times. European Parliament Directorate-General for Internal Policies, Monetary Dialogue.

  10. Campbell, J. R., Evans, C. L., Fisher, J. D., Justiniano, A., Calomiris, C. W., and Woodford, M. (2012). Macroeconomic effects of federal reserve forward guidance [with comments and discussion]. Brookings Papers on Economic Activity, pages 1–80.

  11. Carter, C. K. and Kohn, R. (1994). On gibbs sampling for state space models. Biometrika, 81(3):541–553.
    Paper not yet in RePEc: Add citation now
  12. Forni, M. and Gambetti, L. (2014). Sufficient information in structural VARs. Journal of Monetary Economics, 66:124–136.

  13. Gertler, M. and Karadi, P. (2015). Monetary policy surprises, credit costs, and economic activity. American Economic Journal: Macroeconomics, 7(1):44–76.

  14. Geweke, J. and Amisano, G. (2010). Comparing and evaluating Bayesian predictive distributions of asset returns. International Journal of Forecasting, 26(2):216–230.

  15. Giacomini, R. and White, H. (2006). Tests of conditional predictive ability.

  16. Gilchrist, S. and Zakrajšek, E. (2012). Credit spreads and business cycle fluctuations.

  17. Griffiths, T. L. and Steyvers, M. (2004). Finding scientific topics. Proceedings of the National academy of Sciences, 101(suppl 1):5228–5235.
    Paper not yet in RePEc: Add citation now
  18. Gros, D. (2018). When communication becomes the policy. European Parliament Directorate-General for Internal Policies, Monetary Dialogue.
    Paper not yet in RePEc: Add citation now
  19. Hansen, S. and McMahon, M. (2016). Shocking language: Understanding the macroeconomic effects of central bank communication. Journal of International Economics, 99:S114–S133.

  20. Hansen, S., McMahon, M., and Prat, A. (2018). Transparency and deliberation within the FOMC: a computational linguistics approach. The Quarterly Journal of Economics, 133(2):801–870.

  21. Hansen, S., McMahon, M., and Tong, M. (2019). The long-run information effect of central bank communication. Journal of Monetary Economics, 108:185–202.

  22. Hayo, B. and Neuenkirch, M. (2010). Do federal reserve communications help predict federal funds target rate decisions? Journal of Macroeconomics, 32(4):1014–1024.

  23. Jarociński, M. and Karadi, P. (2020). Deconstructing monetary policy surprises—the role of information shocks. American Economic Journal: Macroeconomics, 12(2):1–43.

  24. Kalamara, E., Turrell, A., Redl, C., Kapetanios, G., and Kapadia, S. (2020). Making text count: economic forecasting using newspaper text.

  25. Larsen, V. H. and Thorsrud, L. A. (2019). The value of news for economic developments. Journal of Econometrics, 210(1):203–218.

  26. Lucca, D. O. and Trebbi, F. (2009). Measuring central bank communication: an automated approach with application to FOMC statements. Technical report, National Bureau of Economic Research.

  27. Lustenberger, T. and Rossi, E. (2020). Does central bank transparency and communication affect financial and macroeconomic forecasts? International Journal of Central Banking.

  28. McCracken, M. W. and Ng, S. (2016). FRED-MD: A monthly database for macroeconomic research. Journal of Business & Economic Statistics, 34(4):574– 589.

  29. Murphy, K. P. (2012). Machine learning: a probabilistic perspective. MIT press.
    Paper not yet in RePEc: Add citation now
  30. Newman, D., Lau, J. H., Grieser, K., and Baldwin, T. (2010). Automatic evaluation of topic coherence. In Human language technologies: The 2010 annual conference of the North American chapter of the association for computational linguistics, pages 100–108.
    Paper not yet in RePEc: Add citation now
  31. Roberts, M. E., Stewart, B. M., and Airoldi, E. M. (2016). A model of text for experimentation in the social sciences. Journal of the American Statistical Association, 111(515):988–1003.

  32. Thorsrud, L. A. (2018). Words are the new numbers: A newsy coincident index of the business cycle. Journal of Business & Economic Statistics, pages 1–17.
    Paper not yet in RePEc: Add citation now
  33. Wu, J. C. and Xia, F. D. (2016). Measuring the macroeconomic impact of monetary policy at the zero lower bound. Journal of Money, Credit and Banking, 48(23) :253–291.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A time-varying skewness model for Growth-at-Risk. (2024). Iseringhausen, Martin.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:1:p:229-246.

    Full description at Econpapers || Download paper

  2. Modeling the relation between the US real economy and the corporate bond?yield spread in Bayesian VARs with non?Gaussian innovations. (2023). Österholm, Pär ; Osterholm, Par ; Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:2:p:347-368.

    Full description at Econpapers || Download paper

  3. Another Boiling Frog: the impact of climate-related events on financial outcomes in Brazil. (2023). Ferreira, Leonardo Nogueira.
    In: Working Papers Series.
    RePEc:bcb:wpaper:573.

    Full description at Econpapers || Download paper

  4. Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens. (2022). Castelnuovo, Efrem ; Mori, Lorenzo.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0291.

    Full description at Econpapers || Download paper

  5. On the Real-Time Predictive Content of Financial Conditions Indices for Growth. (2022). McCracken, Michael ; Amburgey, Aaron.
    In: Working Papers.
    RePEc:fip:fedlwp:93642.

    Full description at Econpapers || Download paper

  6. Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_9687.

    Full description at Econpapers || Download paper

  7. Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens. (2022). Mori, Lorenzo ; Castelnuovo, Efrem.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_10062.

    Full description at Econpapers || Download paper

  8. Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom. (2022). Duprey, Thibaut ; Hacioluhoke, Sinem ; Chiu, Chingwai ; Chatterjee, Somnath.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:84:y:2022:i:2:p:380-400.

    Full description at Econpapers || Download paper

  9. Business cycles, financial conditions, and nonlinearities. (2022). Mendieta-Muñoz, Ivan ; Mendietamuoz, Ivan ; Sundal, Douhan.
    In: Metroeconomica.
    RePEc:bla:metroe:v:73:y:2022:i:2:p:343-383.

    Full description at Econpapers || Download paper

  10. Time?varying impacts of expectations on housing markets across hot and cold phases. (2022). Huang, Meichi.
    In: International Finance.
    RePEc:bla:intfin:v:25:y:2022:i:2:p:249-265.

    Full description at Econpapers || Download paper

  11. Risk and State-Dependent Financial Frictions. (2022). Wouters, Rafael ; Harding, Martin.
    In: Staff Working Papers.
    RePEc:bca:bocawp:22-37.

    Full description at Econpapers || Download paper

  12. A time-varying skewness model for Growth-at-Risk. (2021). Iseringhausen, Martin.
    In: Working Papers.
    RePEc:stm:wpaper:49.

    Full description at Econpapers || Download paper

  13. Financial regimes and oil prices. (2021). Mohammed, Mikidadu ; Barrales-Ruiz, Jose.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003093.

    Full description at Econpapers || Download paper

  14. Bond vs. bank finance and the Great Recession. (2021). Martins, Manuel ; Verona, Fabio.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:39:y:2021:i:c:s154461232030180x.

    Full description at Econpapers || Download paper

  15. Asymmetric responses of consumer spending to energy prices: A threshold VAR approach. (2021). Knotek, Edward ; Zaman, Saeed.
    In: Energy Economics.
    RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000323.

    Full description at Econpapers || Download paper

  16. A profit-to-provisioning approach to setting the countercyclical capital buffer. (2021). Pfeifer, Lukáš ; Hodula, Martin.
    In: Economic Systems.
    RePEc:eee:ecosys:v:45:y:2021:i:1:s0939362521000017.

    Full description at Econpapers || Download paper

  17. Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia. (2021). Ardila-Dueas, Carlos David ; Vargas-Paez, Andrea Carolina.
    In: Borradores de Economia.
    RePEc:bdr:borrec:1165.

    Full description at Econpapers || Download paper

  18. Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication. (2021). Ferreira, Leonardo.
    In: Working Papers Series.
    RePEc:bcb:wpaper:559.

    Full description at Econpapers || Download paper

  19. Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano.
    In: Papers.
    RePEc:arx:papers:2110.13761.

    Full description at Econpapers || Download paper

  20. .

    Full description at Econpapers || Download paper

  21. Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach.. (2020). Heinrich, Markus.
    In: EconStor Preprints.
    RePEc:zbw:esprep:219312.

    Full description at Econpapers || Download paper

  22. Labor Market and Financial Shocks: A Time‐Varying Analysis. (2020). Landi, Valerio Nispi ; Corsello, Francesco.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:52:y:2020:i:4:p:777-801.

    Full description at Econpapers || Download paper

  23. The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes. (2020). Kisten, Theshne ; GUPTA, RANGAN ; Balcilar, Mehmet.
    In: Working Papers.
    RePEc:pre:wpaper:202046.

    Full description at Econpapers || Download paper

  24. Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach. (2020). Zaman, Saeed ; Knotek, Edward.
    In: Working Papers.
    RePEc:fip:fedcwq:88169.

    Full description at Econpapers || Download paper

  25. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea.
    In: Working Papers.
    RePEc:fip:fedcwq:87375.

    Full description at Econpapers || Download paper

  26. Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks. (2020). Kanazawa, Nobuyuki.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070420301361.

    Full description at Econpapers || Download paper

  27. Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach. (2020). Schmidt, Jorg.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301911.

    Full description at Econpapers || Download paper

  28. Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy. (2020). Zaman, Saeed ; Tallman, Ellis W.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:373-398.

    Full description at Econpapers || Download paper

  29. The wage-price pass-through in the euro area: does the growth regime matter?. (2020). Hahn, Elke.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20202485.

    Full description at Econpapers || Download paper

  30. Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus.
    In: ifo Beiträge zur Wirtschaftsforschung.
    RePEc:ces:ifobei:87.

    Full description at Econpapers || Download paper

  31. Financial regimes and uncertainty shocks. (2019). Alessandri, Piergiorgio ; Mumtaz, Haroon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:101:y:2019:i:c:p:31-46.

    Full description at Econpapers || Download paper

  32. Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

    Full description at Econpapers || Download paper

  33. Time-varying predictability of oil market movements over a century of data: The role of US financial stress. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306090.

    Full description at Econpapers || Download paper

  34. Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles. (2019). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhuang, Xin-Tian ; Xiong, Xiong.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:121:y:2019:i:c:p:129-136.

    Full description at Econpapers || Download paper

  35. Financial Conditions and Growth at Risk in Italy. (2019). Miglietta, Arianna ; del Vecchio, Leonardo ; Alessandri, Piergiorgio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1242_19.

    Full description at Econpapers || Download paper

  36. Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:1159.

    Full description at Econpapers || Download paper

  37. Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l.

    Full description at Econpapers || Download paper

  38. Forecasting using Bayesian VARs: A Benchmark for STREAM. (2018). Ruisi, Germano ; Borg, Ian.
    In: CBM Working Papers.
    RePEc:mlt:wpaper:0418.

    Full description at Econpapers || Download paper

  39. Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Agrippino, Silvia Miranda ; Mirandaagrippino, Silvia.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03458277.

    Full description at Econpapers || Download paper

  40. Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:87393.

    Full description at Econpapers || Download paper

  41. Partisan conflict, policy uncertainty and aggregate corporate cash holdings. (2018). Hankins, William ; Stone, Anna-Leigh ; Chiu, Ching-Wai ; Jack, Chak Hung.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:58:y:2018:i:c:p:78-90.

    Full description at Econpapers || Download paper

  42. Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1808.

    Full description at Econpapers || Download paper

  43. Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_265.

    Full description at Econpapers || Download paper

  44. Macro-financial linkages: the role of liquidity dependence. (2018). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna.
    In: BIS Working Papers.
    RePEc:bis:biswps:716.

    Full description at Econpapers || Download paper

  45. Labor market and financial shocks: a time varying analysis. (2018). Nispi Landi, Valerio ; Corsello, Francesco.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1179_18.

    Full description at Econpapers || Download paper

  46. Threshold cointegration and adaptive shrinkage. (2017). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas .
    In: Department of Economics Working Paper Series.
    RePEc:wiw:wus005:5577.

    Full description at Econpapers || Download paper

  47. Threshold cointegration and adaptive shrinkage. (2017). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas .
    In: Department of Economics Working Papers.
    RePEc:wiw:wiwwuw:wuwp250.

    Full description at Econpapers || Download paper

  48. Dating systemic financial stress episodes in the EU countries. (2017). Peltonen, Tuomas ; Klaus, Benjamin ; Duprey, Thibaut.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:32:y:2017:i:c:p:30-56.

    Full description at Econpapers || Download paper

  49. A Financial Conditions Index for the CEE economies. (2017). Auer, Simone.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1145_17.

    Full description at Econpapers || Download paper

  50. The financial stability dark side of monetary policy. (2017). Venditti, Fabrizio ; Conti, Antonio ; Alessandri, Piergiorgio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1121_17.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-19 12:52:25 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.