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Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus … matrix of h-step ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area … scope for improving the NAWM’s forecasting performance. For example, the model is not able to explain the moderation in wage …

Persistent link: https://www.econbiz.de/10011605231

Forecasting and assessing Euro area house prices through the lens of key fundamentals

Gattini, Luca; Hiebert, Paul - 2010

This paper presents a parsimonious model for forecasting and analysing euro area house prices and their interrelations …

Persistent link: https://www.econbiz.de/10011605295

EAGLE-FLI. A macroeconomic model of banking and financial interdependence in the euro area

Bokan, Nikola; Gerali, Andrea; Gomes, Sandra; … - 2016

We incorporate financial linkages in EAGLE, a New Keynesian multi-country dynamic general equilibrium model of the euro area (EA) by including financial frictions and country-specific banking sectors. In this new version of the model, termed EAGLE-FLI (Euro Area and GLobal Economy with Financial...

Persistent link: https://www.econbiz.de/10011605968

The EAGLE. A model for policy analysis of macroeconomic interdependence in the euro area

Gomes, Sandra; Jacquinot, Pascal; Pisani, Massimiliano - 2010

Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions...

Persistent link: https://www.econbiz.de/10011605241

Surprising Comparative Properties of Monetary Models : Results from a New Model Database

Taylor, John B. - 2010

In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new database of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and...

Persistent link: https://www.econbiz.de/10013136676

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2021

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10013316643

Short-Term Forecasts of Euro Area Real GDP Growth : An Assessment of Real-Time Performance Based on Vintage Data

Diron, Marie - 2021

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/10013317625

Nowcasting made easier: A toolbox for economists

Linzenich, Jan; Meunier, Baptiste - 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/10015199442

Financial returns, sentiment and market volatility: A dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015199487

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