Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, …rst, at ranking various forecasting methods in terms...

We introduce a methodology to characterise financial cycles combining a novel multivariate spectral approach to identifying common cycle frequencies across a set of indicators, and a time varying aggregation emphasising systemic developments. The methodology is applied to 13 European Union...

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: if Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships between the real output and the most relevant monetary indicator for the U.K. and the U.S, short term interest rates. These findings are not only a full sample...

The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the...

JEL Classification: C32, E41, E43, E50, G21

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic variables is found. Besides real GDP and prices,...

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...