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Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guérin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...

Persistent link: https://www.econbiz.de/10013120226

Predicting Distress in European Banks

Betz, Frank - 2013

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...

Persistent link: https://www.econbiz.de/10013074637

Monetary Policy and the Financing of Firms

De Fiore, Fiorella - 2012

How should monetary policy respond to changes in financial conditions? In this paper we consider a simple model where firms are subject to idiosyncratic shocks which may force them to default on their debt. Firms' assets and liabilities are denominated in nominal terms and predetermined when...

Persistent link: https://www.econbiz.de/10013116576

Latent Fragility : Conditioning Banks' Joint Probability of Default on the Financial Cycle

Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2022

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...

Persistent link: https://www.econbiz.de/10013403523

Exchange Rate Forecasting on a Napkin

Ca'Zorzi, Michele - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10012918409

Sometimes it Helps : The Evolving Predictive Power of Spreads on GDP Dynamics

Nicoletti, Giulio - 2012

We investigate the predictive content of credit and government interest spreads with respect to the Italian GDP growth. Our analysis with Dynamic Model Averaging identifies when interest spreads were more useful predictors of economic activity: these periods are not limited to the Great...

Persistent link: https://www.econbiz.de/10013104609

Forecasting Housing Investment

Cañizares Martínez, Carlos; Bondt, Gabe J. de; … - 2023

This study applies a model averaging approach to conditionally forecast housing investment in the largest euro area … investment which calls for country-specific housing market policies. A pseudo out-of-sample forecast exercise shows that our …. This suggests that there is ample scope for model averaging tools in forecast exercises, notably as they also help to …

Persistent link: https://www.econbiz.de/10014355351

The Predictive Power of Equilibrium Exchange Rate Models

Ca'Zorzi, Michele - 2020

there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but …

Persistent link: https://www.econbiz.de/10012844460

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 … horizons, the aggregate (consensus) SPF forecast performs best …

Persistent link: https://www.econbiz.de/10012842351

What Can Probability Forecasts Tell Us About Inflation Risks?

Garcia, Juan Angel - 2007

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper estimates the degree of uncertainty and asymmetry in the probability forecasts of the Survey of Professional Forecasters (SPF) using a new methodology. The main conclusion from our...

Persistent link: https://www.econbiz.de/10012775829