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Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
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Short-term estimates of euro area real GDP by means of monthly data
Rünstler, Gerhard; Sédillot, Franck - 2003
, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide …
Persistent link: https://www.econbiz.de/10009635895
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Modelling inflation in the euro area
Jansen, Eilev S. - 2004
The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...
Persistent link: https://www.econbiz.de/10009636545
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10009639420
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On the selection of forecasting models
Inoue, Atsushi; Kilian, Lutz - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …
Persistent link: https://www.econbiz.de/10009639853
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Combining the forecasts in the ECB survey of professional forecasters
Genre, Véronique; Kenny, Geoff; Meyler, Aidan; … - 2010
In this paper, we explore the potential gains from alternative combinations of the surveyed forecasts in the ECB Survey of Professional Forecasters. Our analysis encompasses a variety of methods including statistical combinations based on principal components analysis and trimmed means,...
Persistent link: https://www.econbiz.de/10009640510
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Forecasting inflation with gradual regime shifts and exogenous information
González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011
We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting … for estimating the model parameters. In forecasting inflation, the central bank inflation target, if it exists, is a … natural example of such exogenous information. We illustrate the application of our method by an out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10009640913
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2010
This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...
Persistent link: https://www.econbiz.de/10009640301
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Macro-financial vulnerabilities and future financial stress
Lo Duca, Marco; Peltonen, Tuomas A. - 2011
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10009640687
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Using the global dimension to identify shocks with sign restrictions
Chudik, Alexander; Fidora, Michael - 2011
Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper (i) argues that identification of shocks can benefit from introducing a global dimension, and (ii) shows that summarising information by the median of the available...
Persistent link: https://www.econbiz.de/10009640694