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Towards a Monthly Business Cycle Chronology for the Euro Area

Mönch, Emanuel; Uhlig, Harald - C.E.P.R. Discussion Papers - 2004

This Paper is an exercise in dating the euro area business cycle on a monthly basis. We construct several monthly European real GDP series, and then apply the Bry-Boschan (1971) procedure. Using this method we identify four business cycles. Studying further indicators of business activity, we...

Persistent link: https://www.econbiz.de/10005067594

Interpolation and Backdating with A Large Information Set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2004

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series … develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information … interpolation but again be reduced with multivariate approaches, including factor-based ones. …

Persistent link: https://www.econbiz.de/10005791783

Pooling-based data interpolation and backdating

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...

Persistent link: https://www.econbiz.de/10005124455

Data Revisions Are Not Well-Behaved

Aruoba, Boragan - C.E.P.R. Discussion Papers - 2005

We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial...

Persistent link: https://www.econbiz.de/10005504505

Short-Run Italian GDP Forecasting and Real-Time Data

Golinelli, Roberto; Parigi, Giuseppe - C.E.P.R. Discussion Papers - 2005

National accounts statistics undergo a process of revisions over time because of the accumulation of information and, less frequently, of deeper changes, as new definitions, new methodologies etc. are implemented. In this paper we try to characterise the revision process of the data of Italian...

Persistent link: https://www.econbiz.de/10005124129

An Area-Wide Real-Time Database for the Euro Area

Giannone, Domenico; Henry, Jérôme; Lalik, Magdalena; … - C.E.P.R. Discussion Papers - 2010

This paper describes how we constructed a real-time database for the euro area covering more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available ahead of publication to the Governing Council members before their first meeting of the month. We...

Persistent link: https://www.econbiz.de/10008468678

The Macroeconomic Effects of German Unification: Real Adjustments and the Welfare State

Canova, Fabio; Ravn, Morten O - C.E.P.R. Discussion Papers - 1998

We study the effects of German unification on macroeconomic variables in a model with capital accumulation, skill differences and a welfare state. The integration of two economies differing in capital holdings and skill distribution is similar to a mass migration of low-skilled agents holding no...

Persistent link: https://www.econbiz.de/10005497833

Detrending and Business Cycle Facts

Canova, Fabio - C.E.P.R. Discussion Papers - 1993

This paper examines the business cycle properties of a small set of real US macroeconomic time series using a variety of detrending methods. It is shown: (i) that both quantitatively and qualitatively `stylized facts' of US business cycles vary widely across detrending methods; (ii) that...

Persistent link: https://www.econbiz.de/10005792392

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

Kilian, Lutz; Manganelli, Simone - C.E.P.R. Discussion Papers - 2003

In deciding a monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of risk...

Persistent link: https://www.econbiz.de/10005123620

Some Issues in Modeling and Forecasting Inflation in South Africa

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2009

Inflation targeting central banks will be hampered without good models to assist them to be forward-looking. Many current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The world is on the cusp of a dramatic turning point in...

Persistent link: https://www.econbiz.de/10005123809