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Forecasting euro area inflation using targeted predictors: is money coming back?

Falagiarda, Matteo; Sousa, João - 2017

relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …

Persistent link: https://www.econbiz.de/10011606060

Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination

Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011

-time estimates to check the stability of the estimates to GDP revisions. We finally run a forecasting experiment to evaluate the … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …

Persistent link: https://www.econbiz.de/10011605430

The impact of the COVID-19 shock on euro area potential output: A sectoral approach

Bandera, Nicolò; Bodnár, Katalin; Le Roux, Julien; … - 2022

The COVID-19 crisis has affected economic sectors very heterogeneously, with possible risks for permanent losses in some sectors. This paper presents a sectoral-level, bottom- up method to estimate euro area potential outputin order to assess the impact of the crisis on it. The estimates are...

Persistent link: https://www.econbiz.de/10014278379

The New Area-Wide Model II: An extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector

Coenen, Günter; Karadi, Peter; Schmidt, Sebastian; … - 2018

This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...

Persistent link: https://www.econbiz.de/10012142044

Forecast performance in the ECB SPF: Ability or chance?

Meyler, Aidan - 2020

In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex...

Persistent link: https://www.econbiz.de/10012422033

Nowcasting with large Bayesian vector autoregressions

Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020

Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...

Persistent link: https://www.econbiz.de/10012422115

Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis

Foroni, Claudia; Marcellino, Massimiliano; Stevanovic, … - 2020

We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across...

Persistent link: https://www.econbiz.de/10012422130

Does the Phillips curve help to forecast euro area inflation?

Banbura, Marta; Bobeica, Elena - 2020

; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …

Persistent link: https://www.econbiz.de/10012422133

Nowcasting euro area GDP with news sentiment: A tale of two crises

Ashwin, Julian; Kalamara, Eleni; Saiz, Lorena - 2021

This paper shows that newspaper articles contain timely economic signals that can materially improve nowcasts of real GDP growth for the euro area. Our text data is drawn from fifteen popular European newspapers, that collectively represent the four largest Euro area economies, and are machine...

Persistent link: https://www.econbiz.de/10012819030

The COVID-19 shock and challenges for time series models

Bobeica, Elena; Hartwig, Benny - 2021

We document the impact of COVID-19 on frequently employed time series models, with a focus on euro area in ation. We show that for both single equation models (Phillips curves) and Vector Autoregressions (VARs) estimated parameters change notably with the pandemic. In a VAR, allowing the errors...

Persistent link: https://www.econbiz.de/10012605254