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Forecasting ECB monetary policy: accuracy is (still) a matter of geography

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - 2006

countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …

Persistent link: https://www.econbiz.de/10010299102

Monetary policy analysis in real-time: Vintage combination from a real-time dataset

Altavilla, Carlo; Ciccarelli, Matteo - 2011

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...

Persistent link: https://www.econbiz.de/10010274753

How the Bundesbank really conducted monetary policy: An analysis based on real-time data

Gerberding, Christina; Worms, Andreas; Seitz, Franz - 2004

Papers estimating the reaction function of the Bundesbank generally find that its monetary policy from the 1970s to 1998 can well be captured by a standard Taylor rule according to which the central bank responds to the output gap and to deviations of inflation from target, but not to monetary...

Persistent link: https://www.econbiz.de/10010295652

Determinacy in new Keynesian models: A role for money after all?

Minford, Patrick; Srinivasan, Naveen - 2009

The New-Keynesian Taylor-Rule model of inflation determination with no role for money is incomplete. As Cochrane (2007a) argues, it has no credible mechanism for ruling out bubbles and as a result fails to provide a reason for private agents to pick a unique stable path. We propose a way...

Persistent link: https://www.econbiz.de/10010288779

Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties

Beran, Jan; Feng, Yuanhua - 2001

In this paper data-driven algorithms for fitting SEMIFAR models (Beran, 1999) are proposed. The algorithms combine the data-driven estimation of the nonparamet- ric trend and maximum likelihood estimation of the parameters. Convergence and asymptotic properties of the proposed algorithms are...

Persistent link: https://www.econbiz.de/10010324077

Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results

Beran, Jan; Feng, Yuanhua - 2001

This paper is written as a supplement to our paper Iterative plug-in algorithms for SEMIFAR models-definition, convergence and asymptotic properties (Beran and Feng, 2001). The purpose of this supplement is to report the detailed simulation results, because it is impossible to include all of...

Persistent link: https://www.econbiz.de/10010324086

The R-word index for Switzerland

Iselin, David; Siliverstovs, Boriss - 2012

In a pioneering attempt we present the R(ecession)-word index for Switzerland. We evaluate its predictive ability of … inclusion of the R-word index led to statistically significant improvement in forecast accuracy over the benchmark … autoregressive model. Largest improvements in forecast accuracy were observed in the period around the Great Recession. …

Persistent link: https://www.econbiz.de/10010319709

Maintaining low inflation: money, interest rates, and policy stance

Reynard, Samuel - 2007

This paper presents a systematic empirical relationship between money and subsequent prices and output, using US, euro area and Swiss data since the 1960-70s. Monetary developments, unlike interest rate stance measures, are shown to provide qualitative and quantitative information on subsequent...

Persistent link: https://www.econbiz.de/10011604802

Forecasting ECB monetary policy: accuracy is (still) a matter of geography

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - 2006

countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …

Persistent link: https://www.econbiz.de/10011604624

Real-time Data for Norway: Challenges for Monetary Policy

Bernhardsen, Tom; Eitrheim, Øyvind; Jore, Anne Sofie; … - 2004

National accounts data are always revised. Not only recent data, but also figures dating many years back can be revised substantially. This means that there is a danger that an important part of the central bank's information set is flawed for a long period of time. In this paper we present a...

Persistent link: https://www.econbiz.de/10010295653