Anders Warne

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

11

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19

CROSSREF CITATIONS

122

Scholarly Papers (11)

1.

The New Area-Wide Model of the Euro Area: A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis

ECB Working Paper No. 944
Number of pages: 124 Posted: 19 Oct 2008
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 406 (74,631)
Citation 8

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DSGE modelling, open-economy macroeconomics, Bayesian inference, forecasting, policy analysis, euro area

2.

Forecasting with DSGE Models

ECB Working Paper No. 1185
Number of pages: 54 Posted: 06 May 2010
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 219 (145,096)

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Bayesian Inference, DSGE Models, Euro Area, Forecasting, Open-Economy Macroeconomics, Vector Autoregression

3.

Bayesian Inference in Cointegrated VAR Models: With Applications to the Demand for Euro Area M3

ECB Working Paper No. 692
Number of pages: 43 Posted: 01 Dec 2006
Anders Warne
European Central Bank (ECB)
Downloads 108 (261,191)

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Bayesian inference, cointegration, lag order, money demand, vector autoregression

4.

Risks to Price Stability, the Zero Lower Bound and Forward Guidance: A Real-Time Assessment

ECB Working Paper No. 1582
Number of pages: 47 Posted: 12 Sep 2013
Günter Coenen and Anders Warne
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 89 (296,911)
Citation 2

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monetary policy, deflation, zero lower bound, forward guidance, DSGE modeling, Euro area

5.

Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space Models with Applications to DSGE, DSGE-VAR, and VAR Models

CFS Working Paper, No. 478
Number of pages: 27 Posted: 10 Oct 2014
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 54 (389,733)
Citation 7

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Bayesian inference, density forecasting, Kalman filter, missing data, Monte Carlo integration, predictive likelihood

6.

Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models

ECB Working Paper No. 1536
Number of pages: 59 Posted: 11 May 2013
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 51 (399,740)

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Bayesian inference, forecasting, Kalman filter, missing data, Monte Carlo integration

7.

Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

ECB Working Paper No. 1794
Number of pages: 52 Posted: 23 Jun 2015
European University Institute, European Central Bank (ECB) and University of Melbourne - Department of Economics
Downloads 41 (436,761)
Citation 2

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Bayesian hypothesis testing; block Metropolis-Hastings sampling; Markov-switching models; mixture models; posterior odds ratio

8.

Professional Forecasters and the Real-time Forecasting Performance of an Estimated New Keynesian Model for the Euro Area

ECB Working Paper No. 1571
Number of pages: 30 Posted: 12 Aug 2013
Frank Smets, Anders Warne and Rafael Wouters
European Central Bank (ECB), European Central Bank (ECB) and National Bank of Belgium
Downloads 41 (436,761)
Citation 2

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Bayesian methods, DSGE model, real-time database, Survey of Professional Forecasters, macroeconomic forecasting, estimated New Keynesian model, euro area

9.

The New Area-Wide Model II: An Extended Version of the ECB’s Micro-Founded Model for Forecasting and Policy Analysis with a Financial Sector

ECB Working Paper No. 2200
Number of pages: 136 Posted: 20 Nov 2018
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 31 (480,582)
Citation 5

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DSGE modelling, Bayesian inference, financial frictions, forecasting, policy analysis, euro area

10.

Euro Area Real-Time Density Forecasting with Financial or Labor Market Frictions

ECB Working Paper No. 2140, ISBN: 978-92-899-3245-5
Number of pages: 101 Posted: 18 Apr 2018
Peter McAdam and Anders Warne
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 4 (646,412)

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Bayesian inference, DSGE models, forecast comparison, inflation, output, predictive likelihood

11.

Density Forecast Combinations: The Real-Time Dimension

ECB Working Paper No. 2378
Number of pages: 119 Posted: 25 Feb 2020
Peter McAdam and Anders Warne
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 0 (692,841)

Abstract:

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Bayesian inference, euro area, forecast comparisons, model averaging, prediction pools, predictive likelihood