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BIS Working Papers No 1337 Introducing BISTRO: a foundational model for unconditional and conditional forecasting of macroeconomic time series

Batuhan Koyuncu Byeungchun Kwon Marco Lombardi Fernando Pérez-Cruz Hyun Song Shin Matthieu Chavaz David Elliott Win Monroe Costanza Bosone L. Gambacorta Paolo Giudici Enisse Kharroubi Ulf Lewrick Koji Takahashi Joon S. Park Torsten Ehlers Mathias Hoffmann Alexander Raabe Konrad Adler Sebastian Doerr Sonya Zhu Arturo Andía José Aurazo M. Paliza Hanno Kase Leonardo Melosi S. Rast Matthias Rottner Ko Munakata F. Avalos Boris Hofmann J. Serena I. Aldasoro Rozália Pál D. Revoltella Christoph T. Weiss Marcin Wolfski
· 0 citations · 40 references

TL;DR

It is shown that BISTRO provides reliable unconditional forecasts for key macroeconomic aggregates and illustrated how using it for conditional forecasting can help unveiling patterns of nonlinearity in the data.

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