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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

Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous

Barnett, William A. - 2003

aggregation over countries. Our theory permits monitoring the effects of policy at the aggregate level over the euro area, while …We derive fundamental new theory for measuring monetary service flows aggregated over countries within the European … aggregation across countries over the heterogeneous representative agents, and we derive the resulting formulas for stochastic …

Persistent link: https://www.econbiz.de/10009635917

Is the demand for euro area M3 stable?

Bruggeman, Annick; Donati, Paola; Warne, Anders - 2003

This paper re-examines two data issues concerning euro area money demand: aggregation of national data and measurement … be useful in forecasting exercises.F inally, the conclusions are robust for the aggregation method and the choice of …

Persistent link: https://www.econbiz.de/10009635921

Forecasting euro area inflation

Hubrich, Kirstin - 2003

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inﬂation can be improved by aggregating forecasts of...

Persistent link: https://www.econbiz.de/10009635954

To aggregate or not to aggregate?

Benalal, Nicholai; Diaz del Hoyo, Juan Luis; Landau, Bettina - 2004

of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro … the differences are only marginal for the countries. The aggregation of country forecasts does not seem to improve upon …

Persistent link: https://www.econbiz.de/10009639428

Predicting recession probabilities with financial variables over multiple horizons

Fornari, Fabio; Lemke, Wolfgang - 2010

We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any point in time, the ProbVAR allows to...

Persistent link: https://www.econbiz.de/10009640285

Forecasting with DSGE models

Christoffel, Kai; Coenen, Günter; Warne, Anders - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10009640356

Macroeconomic forecasting and structural change

D’Agostino, Antonello; Gambetti, Luca; Giannone, Domenico - 2010

The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...

Persistent link: https://www.econbiz.de/10009640390

Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...

Persistent link: https://www.econbiz.de/10009635883

Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Persistent link: https://www.econbiz.de/10009635924