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How do financial institutions forecast sovereign spreads? : N°1750, December 2014

Cimadomo, Jacopo (contributor); Claeys, Peter (contributor); … - European Central Bank - 2014

This paper assesses how financial market participants form their expectations about future government bond spreads … expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the … affect expectations of market experts, reducing the pressure on sovereign bond markets. …

Persistent link: https://www.econbiz.de/10015301808

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

Credit market disequilibrium in Greece (2003-2011) : a Bayesian approach

Vouldis, Angelos T. (contributor) - European Central Bank - 2015

Motivated by the linkage between credit and growth in the Greek economy, and the deceleration of credit since the financial crisis, this paper studies the evolution of credit demand and supply in Greece. A disequilibrium model of demand and supply is estimated spanning the period 2003M1-2011M3....

Persistent link: https://www.econbiz.de/10015298940

Variational inference for Bayesian panel VAR models

Ter Steege, Lucas (contributor) - European Central Bank - 2024

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Persistent link: https://www.econbiz.de/10015321114

Term premia implications of macroeconomic regime changes : N°1694, July 2014

Carboni, Giacomo (contributor) - European Central Bank - 2014

Term premia are shown to provide crucial information for discriminating among alternative sources of change in the economy, and namely shifts in the variance of structural shocks and in monetary policy. These sources have been identified as competing explanations for time-varying features of...

Persistent link: https://www.econbiz.de/10015301916

Anchoring the yield curve using survey expectations : N° 1632 / February 2014

Altavilla, Carlo (contributor); … - European Central Bank - 2014

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10015302483

Model of the United States economy with learning Musel : N°1745, December 2014

Baumann, Ursel (contributor); Dieppe, Alistair (contributor) - European Central Bank - 2014

Persistent link: https://www.econbiz.de/10015301892

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

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

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

In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...

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

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