Todd E. Clark

Federal Reserve Bank of Cleveland

P.O. Box 6387

Cleveland, OH 44101

United States

SCHOLARLY PAPERS

54

DOWNLOADS
Rank 11,737

SSRN RANKINGS

Top 11,737

in Total Papers Downloads

5,733

SSRN CITATIONS
Rank 536

SSRN RANKINGS

Top 536

in Total Papers Citations

943

CROSSREF CITATIONS

877

Scholarly Papers (54)

Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

FRB of Kansas City Working Paper No. RWP 04-10, FRB of St. Louis Working Paper No. 2008-028A
Number of pages: 53 Posted: 08 Nov 2004
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 305 (135,806)

Abstract:

Loading...

Structural breaks, forecasting, model averaging

Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

International Economic Review, Vol. 50, Issue 2, pp. 363-395, May 2009
Number of pages: 33 Posted: 27 Apr 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 1 (893,822)
Citation 5

Abstract:

Loading...

2.

Tests of Equal Forecast Accuracy and Encompassing for Nested Models

Federal Reserve Bank of Kansas City, Research Working Paper No. 99-11
Number of pages: 54 Posted: 09 Nov 1999
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 305 (136,486)
Citation 84

Abstract:

Loading...

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

FRB of Cleveland Working Paper No. 12-18
Number of pages: 46 Posted: 20 Sep 2012
Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 241 (172,529)

Abstract:

Loading...

Stochastic volatility, GARCH, forecasting

The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility

Norges Bank Working Paper 2012/09
Number of pages: 46 Posted: 07 May 2013
Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 57 (491,296)
Citation 47

Abstract:

Loading...

Stochastic volatility, GARCH, forecasting

4.

The Sources of Fluctuations within and Across Countries

FRB Kansas City Research Working Paper No. 98-04
Number of pages: 85 Posted: 09 Feb 1999
Todd E. Clark and Kwanho Shin
Federal Reserve Bank of Cleveland and Korea University
Downloads 257 (162,587)
Citation 17

Abstract:

Loading...

5.

Finite-Sample Properties of Tests for Forecast Equivalence

Number of pages: 33 Posted: 26 Nov 1996
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 242 (172,336)
Citation 1

Abstract:

Loading...

6.

Evaluating Long-Horizon Forecasts

FRB of Kansas City Research Working Paper No. 01-14
Number of pages: 35 Posted: 16 Apr 2002
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 236 (176,663)
Citation 16

Abstract:

Loading...

Forecast Evaluation, Prediction, Causality

7.
Downloads 234 (178,088)
Citation 16

Advances in Forecast Evaluation

FRB of Cleveland Working Paper No. 11-20
Number of pages: 83 Posted: 08 Sep 2011
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 150 (264,218)
Citation 10

Abstract:

Loading...

Prediction, equal accuracy

Advances in Forecast Evaluation

Federal Reserve Bank of St. Louis Working Paper No. 2011-025B
Number of pages: 105 Posted: 13 Jun 2012 Last Revised: 24 Oct 2012
Michael W. McCracken and Todd E. Clark
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of Cleveland
Downloads 84 (398,120)
Citation 8

Abstract:

Loading...

Prediction, equal accuracy

8.

Nowcasting Tail Risks to Economic Activity with Many Indicators

FRB of Cleveland Working Paper No. 20-13R2
Number of pages: 63 Posted: 14 May 2020 Last Revised: 22 Sep 2020
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 228 (182,504)
Citation 2

Abstract:

Loading...

forecasting, downside risk, pandemics, big data, mixed frequency, quantile regression

9.
Downloads 218 (190,341)
Citation 55

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 129 (297,330)
Citation 3

Abstract:

Loading...

Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

FRB of Cleveland Working Paper No. 16-22
Number of pages: 63 Posted: 19 Oct 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 89 (384,164)
Citation 31

Abstract:

Loading...

Bayesian VARs, Stochastic Volatility, Large Datasets

10.

Borders and Business Cycles

FRB of Kansas City Working Paper No. 99-07, FRB of New York Staff Report No. 91
Number of pages: 39 Posted: 27 Nov 1999
Todd E. Clark and Eric van Wincoop
Federal Reserve Bank of Cleveland and University of Virginia - Department of Economics
Downloads 212 (195,388)
Citation 30

Abstract:

Loading...

11.

Can Out-of-Sample Forecast Comparisons Help Prevent Overfitting?

FRB of Kansas City Research Working Paper No. 00-05
Number of pages: 35 Posted: 02 Jun 2001
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 204 (202,537)
Citation 4

Abstract:

Loading...

Forecasts, Overfitting, Model Selection, Causality

12.

The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence

FRB of Kansas City Working Paper No. 03-06
Number of pages: 54 Posted: 15 Jun 2004
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 185 (221,045)
Citation 34

Abstract:

Loading...

Phillips Curve, Forecasts, Causality, Break Test

13.

Endogenous Uncertainty

FRB of Cleveland Working Paper No. 18-05
Number of pages: 57 Posted: 30 Mar 2018
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 155 (256,585)
Citation 2

Abstract:

Loading...

Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 140 (280,896)
Citation 4

Abstract:

Loading...

Bayesian VARs, forecasting, prior specification, lag length, marginal likelihood

Bayesian VARs: Specification Choices and Forecast Accuracy

CEPR Discussion Paper No. DP8273
Number of pages: 52 Posted: 14 Mar 2011
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 3 (865,475)
Citation 14
  • Add to Cart

Abstract:

Loading...

Bayesian VARs, forecasting, marginal likelihood, prior specification

15.
Downloads 130 (294,349)
Citation 29

Estimating Equilibrium Real Interest Rates in Real Time

FRB of Kansas Research Paper No. RWP 04-08
Number of pages: 48 Posted: 22 Sep 2004
Todd E. Clark and Sharon Kozicki
Federal Reserve Bank of Cleveland and Bank of Canada
Downloads 118 (317,787)
Citation 31

Abstract:

Loading...

Real-Time-Data; Time-Varying Parameter; Kalman Filter; Trend Growth

Estimating Equilibrium Real Interest Rates in Real-Time

Bundesbank Series 1 Discussion Paper No. 2004,32
Number of pages: 64 Posted: 08 Jun 2016
Todd E. Clark and Sharon Kozicki
Federal Reserve Bank of Cleveland and Bank of Canada
Downloads 12 (775,880)

Abstract:

Loading...

real-time-data, time-varying parameter, Kalman filter, trend growth

Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy

FRB of St. Louis Working Paper No. 2009-050B
Number of pages: 61 Posted: 24 Oct 2012
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 88 (386,910)
Citation 14

Abstract:

Loading...

mean square error, prediction, reality check

Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy

Federal Reserve Bank of Kansas City Economic Research Working Paper No. 09-11, Federal Reserve Bank of St. Louis Working Paper No. 2009-050A
Number of pages: 56 Posted: 20 Aug 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 40 (571,372)
Citation 1

Abstract:

Loading...

mean square error, prediction, reality check

17.

Forecast-Based Model Selection in the Presence of Structural Breaks

FRB of Kansas City Working Paper No. 02-05
Number of pages: 52 Posted: 23 Nov 2002
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 126 (301,461)
Citation 6

Abstract:

Loading...

Power, Structural Breaks, Forecast Evaluation, Model Selection

18.

Testing for Unconditional Predictive Ability

Federal Reserve Bank of St. Louis Working Paper No. 2010-031A
Number of pages: 32 Posted: 05 Oct 2010
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 120 (312,459)
Citation 4

Abstract:

Loading...

Predictability, Forecast Accuracy, Testing

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

FRB of Kansas City Working Paper No. RWP 05-05
Number of pages: 45 Posted: 22 Jan 2006
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 78 (415,957)
Citation 5

Abstract:

Loading...

Forecast Evaluation, Causality, Nested Models

Approximately Normal Tests for Equal Predictive Accuracy in Nested Models

NBER Working Paper No. t0326
Number of pages: 41 Posted: 17 Aug 2006 Last Revised: 24 Nov 2021
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 40 (571,372)
Citation 102

Abstract:

Loading...

20.

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts

FRB of Cleveland Working Paper No. 14-39
Number of pages: 41 Posted: 24 Dec 2014
Fabian Krueger, Todd E. Clark and Francesco Ravazzolo
Heidelberg Institute for Theoretical Studies (HITS) gGmbH, Federal Reserve Bank of Cleveland and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 104 (344,859)
Citation 2

Abstract:

Loading...

Forecasting, Prediction, Bayesian Analysis

21.

Averaging Forecasts from Vars with Uncertain Instabilities

FRB of Kansas City Working Paper No. 06-12, FEDS Working Paper No. 2007-42, FRB of St. Louis Working Paper 2008-030B
Number of pages: 25 Posted: 28 Dec 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 102 (349,305)
Citation 13

Abstract:

Loading...

Forecast combination, real-time data, structural change

22.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

FRB of Cleveland Working Paper No. 16-17
Number of pages: 55 Posted: 18 Sep 2016
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 101 (351,580)
Citation 5

Abstract:

Loading...

23.
Downloads 101 (351,580)
Citation 2

Combining Forecasts from Nested Models

FRB of Kansas City Research Working Paper No. 06-02, FRB of St. Louis Working Paper No. 2008-037A, FEDS Working Paper No. 2007-43
Number of pages: 34 Posted: 22 Mar 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 98 (361,234)
Citation 2

Abstract:

Loading...

Forecast Combination, Predictability, Forecast Evaluation

Combining Forecasts from Nested Models

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 3, pp. 303-329, June 2009
Number of pages: 27 Posted: 27 Apr 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 3 (865,475)

Abstract:

Loading...

24.

Disaggregate Evidence on the Persistence of Consumer Price Inflation

FRB of Kansas City Working Paper No. 03-11
Number of pages: 53 Posted: 05 Aug 2004
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 100 (353,869)
Citation 23

Abstract:

Loading...

Inflation dynamics, structural breaks, relative prices, factor models

25.

Forecasting with Small Macroeconomic VARs in the Presence of Instabilities

FEDS Working Paper No. 2007-41, FRB of Kansas City Economic Research Paper No. 06-09
Number of pages: 66 Posted: 18 Jul 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 96 (363,162)
Citation 9

Abstract:

Loading...

Real-time Data, Prediction, Structural Change

26.

Time Variation in the Inflation Passthrough of Energy Prices

FRB of Kansas City Paper No. RWP 09-06
Number of pages: 21 Posted: 26 Feb 2009
Todd E. Clark and Stephen Terry
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City
Downloads 95 (365,449)
Citation 11

Abstract:

Loading...

oil price shocks, monetary policy, time-varying parameters

27.

Tail Forecasting with Multivariate Bayesian Additive Regression Trees

FRB of Cleveland Working Paper No. 21-08
Number of pages: 69 Posted: 22 Mar 2021
Federal Reserve Bank of Cleveland, University of Salzburg, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Bocconi University and University of Salzburg - Department of Economics and Social Sciences
Downloads 93 (370,548)
Citation 1

Abstract:

Loading...

nonparametric VAR, regression trees, macroeconomic forecasting

28.

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis

FRB of Kansas City Working Paper No. 04-03
Number of pages: 42 Posted: 05 Aug 2004
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 93 (370,548)
Citation 81

Abstract:

Loading...

Forecast Evaluation, Causality, Exchange Rates

29.

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

FRB of Cleveland Working Paper No. 1520
Number of pages: 50 Posted: 22 Oct 2015
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Federal Reserve Bank of Cleveland and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Downloads 88 (383,413)
Citation 10

Abstract:

Loading...

trend inflation, inflation expectations, state space model, stochastic volatility

30.

A Bayesian Evaluation of Alternative Models of Trend Inflation

FRB of Cleveland Working Paper No. 11-34
Number of pages: 60 Posted: 11 Jan 2012
Todd E. Clark and Taeyoung Doh
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City
Downloads 81 (402,717)
Citation 8

Abstract:

Loading...

Likelihood, model combination, forecasting

31.

Real-Time Density Forecasts from VARs with Stochastic Volatility

Number of pages: 47 Posted: 11 Jun 2009
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 79 (408,512)
Citation 12

Abstract:

Loading...

Steady-state prior, Prediction, Bayesian methods

32.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

FRB of Cleveland Working Paper No. 18-03R
Number of pages: 40 Posted: 26 Mar 2018 Last Revised: 10 Oct 2019
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 72 (430,153)
Citation 4

Abstract:

Loading...

Business cycle uncertainty, stochastic volatility, large datasets

33.

Evaluating Conditional Forecasts from Vector Autoregressions

FRB of Cleveland Working Paper No. 14-13
Number of pages: 52 Posted: 04 Oct 2014
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 72 (430,153)
Citation 3

Abstract:

Loading...

prediction, forecasting, out-of-sample

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

FRB of Cleveland Working Paper No. 12-27
Number of pages: 58 Posted: 15 Nov 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 68 (449,178)
Citation 4

Abstract:

Loading...

Prediction, forecasting, Bayesian methods, mixed frequency models

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

CEPR Discussion Paper No. DP9312
Number of pages: 59 Posted: 01 Feb 2013
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 4 (854,449)
Citation 7
  • Add to Cart

Abstract:

Loading...

Bayesian methods, forecasting, mixed frequency models, Prediction

35.

Reality Checks and Nested Forecast Model Comparisons

Number of pages: 42 Posted: 05 Oct 2010
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 70 (436,770)
Citation 2

Abstract:

Loading...

Prediction, forecast evaluation, equal accuracy

36.
Downloads 61 (468,413)
Citation 18

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
Number of pages: 57 Posted: 12 Sep 2014
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 36 (593,741)
Citation 1

Abstract:

Loading...

Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Norges Bank Working Paper 13 | 2014
Number of pages: 57 Posted: 04 May 2015
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 25 (666,275)
Citation 1

Abstract:

Loading...

Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0
Citation 7
  • Add to Cart

Abstract:

Loading...

37.

Tests of Equal Predictive Ability With Real-Time Data

FRB of St. Louis Working Paper No. 2008-029
Number of pages: 32 Posted: 10 Aug 2007
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 60 (472,172)
Citation 7

Abstract:

Loading...

Forecasting, Prediction, mean square error, causality

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

BIS Working Paper No. 667
Number of pages: 58 Posted: 10 Nov 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 30 (630,737)

Abstract:

Loading...

stochastic volatility, survey forecasts, fan charts

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB St. Louis Working Paper No. 2017-26
Number of pages: 44 Posted: 07 Sep 2017 Last Revised: 05 Jan 2019
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 15 (748,238)
Citation 10

Abstract:

Loading...

Stochastic volatility, survey forecasts, prediction

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB of Cleveland Working Paper No. 17-15
Number of pages: 57 Posted: 27 Sep 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 10 (794,828)

Abstract:

Loading...

Stochastic Volatility, Survey Forecasts, Fan Charts

Tests of Equal Forecast Accuracy for Overlapping Models

FRB of Cleveland Working Paper No. 11-21
Number of pages: 32 Posted: 08 Sep 2011
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 29 (637,529)

Abstract:

Loading...

overlapping models, prediction, out-of-sample

Tests of Equal Forecast Accuracy for Overlapping Models

Number of pages: 31 Posted: 12 Apr 2012
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 24 (674,004)
Citation 1

Abstract:

Loading...

overlapping models, prediction, out-of-sample

40.

Forecasting with Shadow-Rate VARs

FRB of Cleveland Working Paper No. 21-09
Number of pages: 56 Posted: 01 Apr 2021
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland, Bocconi University and Deutsche Bundesbank
Downloads 46 (530,300)

Abstract:

Loading...

macroeconomic forecasting, effective lower bound, term structure, censored observations

41.

In-Sample Tests of Predictive Ability: A New Approach

Federal Reserve Bank of Kansas City, Economic Research Department Research Working Paper No. 2009-051A
Number of pages: 36 Posted: 20 Aug 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 41 (554,322)
Citation 5

Abstract:

Loading...

predictability, forecast accuracy, in-sample

42.

Decomposing the Declining Volatility of Long-Term Inflation Expectations

FRB of Kansas City Paper No. RWP 09-05
Number of pages: 31 Posted: 26 Feb 2009
Todd E. Clark and Troy Davig
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City
Downloads 40 (559,301)
Citation 10

Abstract:

Loading...

Survey-based inflation expectations, stochastic volatility, Bayesian econometrics

43.

Evaluating the Accuracy of Forecasts from Vector Autoregressions

FRB of St. Louis Working Paper No. 2013-010A
Number of pages: 47 Posted: 01 Mar 2013
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 38 (569,529)
Citation 1

Abstract:

Loading...

prediction, forecasting, out-of-sample

44.
Downloads 28 (627,005)
Citation 36

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 27 (651,404)

Abstract:

Loading...

Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

CEPR Discussion Paper No. DP8894
Number of pages: 71 Posted: 04 Apr 2012
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 1 (893,822)
Citation 17
  • Add to Cart

Abstract:

Loading...

Bayesian VARs, forecasting, prior specification, stochastic volatility

45.

Commentary

Economic Policy Review, Vol. 3, No. 1, February 1997
Number of pages: 6 Posted: 12 Nov 2007
Todd E. Clark
Federal Reserve Bank of Cleveland
Downloads 24 (654,262)

Abstract:

Loading...

New York City, New York City economy

46.

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

NBER Working Paper No. t0305
Number of pages: 46 Posted: 04 May 2011 Last Revised: 04 May 2022
Todd E. Clark and Kenneth D. West
Federal Reserve Bank of Cleveland and University of Wisconsin - Madison - Department of Economics
Downloads 23 (661,422)
Citation 5

Abstract:

Loading...

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

CEPR Discussion Paper No. DP15964
Number of pages: 130 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 0
  • Add to Cart

Abstract:

Loading...

48.

Macroeconomic Forecasting in a Multi-Country Context

CEPR Discussion Paper No. DP16994
Number of pages: 62 Posted: 04 Feb 2022
Bocconi University - Baffi Carefin Centre, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (873,473)
  • Add to Cart

Abstract:

Loading...

Hierarchical shrinkage, Macroeconomic forecasting, Multi-country VARs, Scale mixtures of Normals priors

49.

Nowcasting Tail Risk to Economic Activity at a Weekly Frequency

CEPR Discussion Paper No. DP16496
Number of pages: 58 Posted: 22 Sep 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (873,473)
  • Add to Cart

Abstract:

Loading...

Big Data, Downside risk, Forecasting, Mixed frequency, Pandemics, Quantile regression

50.

Measuring Uncertainty and its Effects in the COVID-19 Era

CEPR Discussion Paper No. DP15965
Number of pages: 40 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 0 (873,473)
  • Add to Cart

Abstract:

Loading...

51.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

CEPR Discussion Paper No. DP13970
Number of pages: 67 Posted: 07 Oct 2019
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (873,473)
Citation 1
  • Add to Cart

Abstract:

Loading...

Business cycle uncertainty, large datasets, stochastic volatility

52.

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP9848
Number of pages: 58 Posted: 02 Jun 2014
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 0 (873,473)
  • Add to Cart

Abstract:

Loading...

density forecasting, no arbitrage, stochastic volatility, Term structure

53.

An Empirical Assessment of the Relationships Among Inflation and Short- and Long-Term Expectations

Posted: 18 Nov 2008
Todd E. Clark and Troy Davig
Federal Reserve Bank of Cleveland and Federal Reserve Bank of Kansas City

Abstract:

Loading...

Expectation, trend inflation, inflation dynamics

54.

The Responses of Prices at Different Stages of Production to Monetary Policy Shocks

Federal Reserve Bank of Kansas City Research Working Paper No. 96-12
Posted: 20 Jan 1997
Todd E. Clark
Federal Reserve Bank of Cleveland

Abstract:

Loading...