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The yield curve as a predictor and emerging economies

Mehl, Arnaud - European Central Bank - 2006

-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …

Persistent link: https://www.econbiz.de/10005530689

Fiscal forecasting: lessons from the literature and challenges

Leal, Teresa; Pérez, Javier J.; Tujula, Mika; Vidal, … - European Central Bank - 2007

While fiscal forecasting and monitoring has its roots in the accountability of governments for the use of public funds … discusses the main issues and challenges in the field of fiscal forecasting from a practitioner’s perspective and places them in …

Persistent link: https://www.econbiz.de/10005530696

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - European Central Bank - 2007

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...

Persistent link: https://www.econbiz.de/10005530825

Large Bayesian VARs

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - European Central Bank - 2008

to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …

Persistent link: https://www.econbiz.de/10005530858

Forecasting inflation and tracking monetary policy in the euro area: does national information help?

Cristadoro, Riccardo; Venditti, Fabrizio; Saporito, Giuseppe - European Central Bank - 2008

The ECB objective is set in terms of year on year growth rate of the Euro area HICP. Nonetheless, a good deal of attention is given to national data by market analysts when they try to anticipate monetary policy moves. In this paper we use the Generalized Dynamic Factor model to develop a set of...

Persistent link: https://www.econbiz.de/10005530864

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - European Central Bank - 2004

use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area …

Persistent link: https://www.econbiz.de/10005530900

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - European Central Bank - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10005530935

The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models

Darracq Pariès, Matthieu; Maurin, Laurent - European Central Bank - 2008

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

Persistent link: https://www.econbiz.de/10005344872

Should quarterly government finance statistics be used for fiscal surveillane in Europe?

Pedregal, Diego J.; Pérez, Javier J. - European Central Bank - 2008

content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …

Persistent link: https://www.econbiz.de/10005344878

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Diron, Marie - European Central Bank - 2006

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10005344945