Papers and codes

Published papers, corresponding Bundesbank DPs, and (some) codes

• Forecast uncertainty, disagreement, and the linear pool, with Fabian Krüger, Journal of Applied Econometrics (2022), Vol. 37(1), pp. 23-41.
  [DOI link, open access] [Bundesbank Discussion Paper] [codes]

• How far can we forecast? Statistical tests of the predictive content, with Jörg Breitung, Journal of Applied Econometrics (2021), Vol. 36(4), pp. 369-392.
  [DOI link, open access] [Bundesbank Discussion Paper] [Bundesbank Research Brief] [codes]

• Assessing the uncertainty in central banks’ inflation outlooks, with Guido Schultefrankenfeld, International Journal of Forecasting (2019), Vol. 35(4), pp. 1748-1769.
  [DOI link] [Bundesbank Discussion Paper]

• Forecast-error-based estimation of forecast uncertainty when the horizon is increased, International Journal of Forecasting (2018), Vol. 34(1), pp. 105-116.
  [DOI link] [Bundesbank Discussion Paper] [codes]

• Interest rate assumptions and predictive accuracy of central bank forecasts, with Guido Schultefrankenfeld, Empirical Economics (2017), Vol. 53(1), pp. 195-215.
  [DOI Link] [Bundesbank Discussion Paper with slightly different title]

• Evaluating the calibration of multi-step-ahead density forecasts using raw moments, Journal of Business & Economic Statistics (2015), Vol. 33(2), pp. 270-281.
  [DOI link] [Bundesbank Discussion Paper] [MATLAB codes] [R codes by Fabian Krüger]

• Can capacity constraints explain asymmetries of the business cycle?, Macroeconomic Dynamics (2014), Vol. 18(1), pp. 65-92.
  [DOI link] [Bundesbank Discussion Paper]

• Efficient estimation of forecast uncertainty based on recent forecast errors, International Journal of Forecasting (2014), Vol. 30(2), pp. 257-267.
  [DOI link] [Bundesbank Discussion Paper]

• Empirical simultaneous prediction regions for path-forecasts, with Òscar Jordà and Massimiliano Marcellino, International Journal of Forecasting (2013), Vol. 29(3), 456-468.
  [DOI link] [Bundesbank Discussion Paper]

• How informative are central bank assessments of macroeconomic risks?, with Guido Schultefrankenfeld, International Journal of Central Banking (2012), Vol. 8(3), pp. 87-139.
  [link] [Bundesbank Discussion Paper with slightly different title]

• Testing business cycle asymmetries based on autoregressions with a Markov-switching intercept, Journal of Business & Economic Statistics (2009), Vol. 27(4), pp. 544-552.
  [DOI link] [Bundesbank Discussion Paper]

• Score-based calibration testing for multivariate forecast distributions, with Fabian Krüger and Marc-Oliver Pohle
  [arXiv version] [Bundesbank Discussion Paper (2022)] [R codes]

• Approximating fixed-horizon forecasts using fixed-event forecasts, with Andreea L. Vladu
  [latest version] [online appendix of latest version] [Bundesbank Discussion Paper (2016)] [codes]

• Evaluating macroeconomic risk forecasts, with Guido Schultefrankenfeld
  [Bundesbank Discussion Paper (2011)]

• Quantifying risk and uncertainty in macroeconomic forecasts, with Karl-Heinz Tödter
  [Bundesbank Discussion Paper (2007)]

• Assessing the ex ante uncertainty in the US SPF, with Lora Pavlova

• Inference bands for the PIT histogram, with Matei Demetrescu and Felix Kießner

Conferences and Seminars

Seminars

• IIF MacroFor online seminar. Schedule and calendar files are here

Some upcoming conferences and workshops

• 44th International Symposium on Forecasting 

• Danmarks Nationalbank/Deutsche Bundesbank/Norges Bank joint conference on structural changes and the implications for inflation

Associations and communities with regular conferences

• International Institute of Forecasters

• International Association for Applied Econometrics 

• EC²

• Society for Nonlinear Dynamics and Econometrics

• NBER-NSF Time Series Conferences

• Euro Area Business Cycle Network (EABCN)

• European Economic Association and Econometric Society (EEA ESEM) 

• Society for Computational Economics

• CFEnetwork

• Society for Financial Econometrics

• BSE Summer Forum

• Real-Time Economics Conference

• Federal Reserve Bank of Cleveland Inflation Conference

• Central Bank Research Association

• German Economic Association (VfS)

Past conferences and workshops I helped to organize

• Challenges in empirical macroeconomics since 2020 (Deutsche Bundesbank, EABCN, CEPR), 2022

• Revisiting and improving prediction tools for central banks (Deutsche Bundesbank, International Institute of Forecasters), 2022

• Workshop on forecasting (Deutsche Bundesbank), 2017

• Uncertainty and forecasting in macroeconomics (Deutsche Bundesbank and ifo Institute), 2012

Other links

Data

• FRED St. Louis

• Federal Reserve Bank of Philadelphia real-time data

• Deutsche Bundesbank real-time data

• Federal Reserve Bank of Philadelphia Survey of Professional Forecasters

• ECB Survey of Professional Forecasters

Business cycle chronologies

• USA

• Euro area

• France

• Spain

Interesting Blogs

• Grumpy

• Econbrowser

• No hesitations

• VoxEU

My other research webpages

• Bundesbank

• Google Scholar