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 in the euro area and between the euro...

Understanding the impact of exchange rate movements on prices is critical from a policy perspective in order to gauge the appropriate monetary policy response to currency movements. This study assesses the extent to which the movements in exchange rate affect domestic consumer prices in Pakistan...

This paper provides a summary of the OECD's new global macroeconometric model, including an overview of model structure and a selection of simulations illustrating its main properties. Compared with its predecessors, the new model is more compact and regionally aggregated, but gives more weight...

It is commonly understood that macroeconomic shocks influence commodity prices and that one channel for this is the link between interest rates, expected future asset returns and stock-holding. In this paper the link is extended to the petroleum market with the recognition that recorded stocks...

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis. Considering a large database containing national macroeconomic, financial, and trade dynamic variables for 17 OECD countries, we evaluate forecasting accuracy, and perform a...

The increasing interest aroused by more advanced forecasting techniques, together with the requirement for more accurate forecasts of tourism demand at the destination level due to the constant growth of world tourism, has lead us to evaluate the forecasting performance of neural modelling...

The paper develops a Small Open Economy New Keynesian DSGE-VAR (SOENKDSGE-VAR) model of the South African economy, characterised by incomplete pass-through of exchange rate changes, external habit formation, partial indexation of domestic prices and wages to past inflation, and staggered price...

This paper aims to suggest the best forecasting model for the semiconductor market. A wide range of alternative modern econometric modeling approaches have been implemented, and a large variety of criteria and tests have been employed to assess the out-of-sample forecasting accuracy at various...

This paper considers the process optimal strategies for an enhanced index tracking problem. The investment goals are set to achieve a higher return than the benchmark by setting the portfolio's risk profile identical to the primary index risk factors. Return differences between the index and the...

In this paper we develop an open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model—the Halle Economic Projection Model (HEPM)—is closely related to studies published by Carabenciov...