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A structural common factor approach to core inflation estimation and forecasting

Morana, Claudio - 2004

In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in...

Persistent link: https://www.econbiz.de/10011604351

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10011604367

Unemployment, hysteresis and transition

McAdam, Peter; León-Ledesma, Miguel A. - 2003

We quantify the degree of persistence in unemployment rates of transition countries using a variety of methods … unit roots in unemployment. Since this is potentially a narrow definition, we also take into account the existence of … structural breaks and non-linear dynamics in unemployment. Finally, we examine whether CEECs' unemployment presents features of …

Persistent link: https://www.econbiz.de/10011604280

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

How income expectations adjust to inflation - a consumers' expectations-revealed pass-through

Aprigliano, Valentina; Di Nino, Virginia - 2024

We use inflation and income growth expectations from the ECB Consumer Expectations Survey to measure the subjective expected pass-through of inflation to income in the main euro area countries. By aggregating consumers' responses to probabilistic questions, we obtain significantly higher...

Persistent link: https://www.econbiz.de/10015199500

Temporal networks in the analysis of financial contagion

Franch, Fabio; Nocciola, Luca; Vouldis, Angelos - 2022

This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic...

Persistent link: https://www.econbiz.de/10013367996

Underlying inflation and asymmetric risks

Le Bihan, Hervé; Leiva-Leon, Danilo; Pacce, Matías - 2023

We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework...

Persistent link: https://www.econbiz.de/10014476126

House prices and monetary policy in the euro area: Evidence from structural VARs

Nocera, Andrea; Roma, Moreno - 2017

We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macro-economy and the role of house prices in the monetary policy transmission, across euro area countries. A novel set of identification...

Persistent link: https://www.econbiz.de/10011804388

Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables

Chudik, Alexander; Georgiadis, Georgios - 2019

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10012142151

A cointegration model of money and wealth

Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. Wefind that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012389568