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Disentangling the role of the exchange rate in oil-related scenarios for the European stock market
Ojea Ferreiro, Javier - 2019
Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...
Persistent link: https://www.econbiz.de/10012142140
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The Scapegoat Theory of Exchange Rates : The First Tests
Fratzscher, Marcel - 2012
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...
Persistent link: https://www.econbiz.de/10013111946
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Learning about Wage and Price Mark-Ups in Euro Area Countries
Angelini, Elena - 2013
In this paper we show that higher flexibility, measured by lower wage and price mark-ups leads to reduced inflationary pressures, increase in competitiveness, and higher output. A rational expectation and a learning version of the ECB's New Multi-Country Model are used to understand plausible...
Persistent link: https://www.econbiz.de/10013087140
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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; … - 2021
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...
Persistent link: https://www.econbiz.de/10013315382
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Is Forecasting with Large Models Informative? Assessing the Role of Judgement in Macroeconomic Forecasts
Mestre, Ricardo; McAdam, Peter - 2021
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...
Persistent link: https://www.econbiz.de/10013316469
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Forecasting Economic Growth in the Euro Area During the Great Moderation and the Great Recession
Lombardi, Marco; Maier, Philipp - 2021
periods of low and high economic volatility (more specifically, we consider 2002-2007, which falls into the ‘Great Moderation …
Persistent link: https://www.econbiz.de/10013315981
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Comovements in Volatility in the Euro Money Market
Cassola, Nuno; Morana, Claudio - 2021
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …
Persistent link: https://www.econbiz.de/10013317311
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Capturing the Financial Cycle in Europe
Stremmel, Hanno - 2015
In this study, we approximate the financial cycle in Europe by combining potential common and relevant financial indicators. We consider different credit aggregates and asset prices but also incorporate banking sector indicators for 11 European countries. We develop seven different synthetic...
Persistent link: https://www.econbiz.de/10013020632
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Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
Mestre, Ricardo; McAdam, Peter - 2008
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...
Persistent link: https://www.econbiz.de/10011604996
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Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area
Krylova, Elizaveta - 2016
This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...
Persistent link: https://www.econbiz.de/10012988612