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Inflation forecasts : are marketbased and survey-based measures informative?

Grothe, Magdalena (contributor); Meyler, Aidan (contributor) - European Central Bank - 2015

This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and the United States. The results show that both market-based...

Persistent link: https://www.econbiz.de/10015296688

Density characteristics and density forecast performance : a panel analysis; N°1679, May 2014

Kenny, Geoff (contributor); Kostka, Thomas (contributor); … - European Central Bank - 2014

density forecast performance. Controlling for the effects of common macroeconomic shocks, we apply cross-sectional and fixed … effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest … distributions tend - as a rule - not to contribute significantly to enhancing individual density forecast performance. …

Persistent link: https://www.econbiz.de/10015301871

The ECB survey of professional forecasters : forecast processes and methodologies : results of the 2023 special survey : survey conducted on the occasion of the 25th anniversary of...

European Central Bank - 2024

special survey on SPF forecast processes and methodologies in the fourth quarter of 2023 (after 100 rounds of the SPF and 25 …

Persistent link: https://www.econbiz.de/10015277055

The ECB survey of professional forecasters : forecast processes and methodologies : results of the 2023 special survey : survey conducted on the occasion of the 25th anniversary of...

European Central Bank - 2024

special survey on SPF forecast processes and methodologies in the fourth quarter of 2023 (after 100 rounds of the SPF and 25 …

Persistent link: https://www.econbiz.de/10015277066

Forecasting the Brent oil price : addressing time-variation in forecast performance; N°1735, September 2014

Manescu, Cristiana (contributor); … - European Central Bank - 2014

This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes … propose a forecast combination approach to predict quarterly real Brent oil prices. A four-model combination (consisting of … than the futures and the random walk up to 11 quarters ahead, on average, and generates a forecast whose performance is …

Persistent link: https://www.econbiz.de/10015301971

Do professional forecasters behave as if they believed in the new Keynesian Phillips Curve for the euro area?

López Pérez, Victor (contributor) - European Central Bank - 2015

forecasts that are consistent with a (mostly forward-looking) New Keynesian Phillips Curve for the euro area. The estimation …

Persistent link: https://www.econbiz.de/10015298680

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano (contributor); … - European Central Bank - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015321745

Nowcasting made easier : a toolbox for economists

Linzenich, Jan (contributor); Meunier, Baptiste (contributor) - European Central Bank - 2024

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

Persistent link: https://www.econbiz.de/10015322225

Unrealised losses in banks' bond portfolios measured at amortised cost

European Central Bank - 2023

The ECB has collected data on the unrealised losses of significant institutions under its direct supervision with a view to enhancing the assessment of risk in the held-to-maturity portfolios of euro area banks and to furthering its monitoring of interest rate risk and liquidity risk.

Persistent link: https://www.econbiz.de/10015323887

Rational blinders strategic selection of risk models and bank capital regulation : N° 1641 / February 2014

Colliard, Jean-Edouard (contributor) - European Central Bank - 2014

The regulatory use of banks' internal models aims at making capital requirements more accurate and reducing regulatory arbitrage, but may also give banks incentives to choose their risk models strategically. Current policy answers to this problem include the use of risk-weight floors and...

Persistent link: https://www.econbiz.de/10015302481