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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
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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
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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
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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
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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
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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
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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
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Risk-adjusted forecasts of oil prices
Pagano, Patrizio; Pisani, Massimiliano - European Central Bank - 2009
This paper documents the existence of a significant forecast error on crude oil futures. We interpret it as a risk premium, which, in part, could have been explained by means of a real-time US business cycle indicator, such as the degree of capacity utilization in manufacturing. This result is...
Persistent link: https://www.econbiz.de/10004969147
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Measuring financial conditions in major non-euro area economies
Wacker, Konstantin M.; Lodge, David; Nicoletti, Giulio - European Central Bank - 2014
In this paper, we develop financial conditions indices (FCIs) for 3 industrialized (US, Japan, UK) and 5 emerging (China, Brazil, Russia, India, Turkey) economies. The FCIs are formed as the principal component of a range of financial series for each country and are constructed to account for...
Persistent link: https://www.econbiz.de/10011100160
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Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach
Dées, Stéphane; Güntner, Jochen - European Central Bank - 2014
This paper uses a panel VAR (PVAR) approach to estimating, analysing, and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10011067209