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Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Fiscal policy and inflation volatility

Rother, Philipp C. - 2004

Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …

Persistent link: https://www.econbiz.de/10009636540

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

Persistent link: https://www.econbiz.de/10009636551

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

Estimating the rank of the spectral density matrix

Camba-Mendez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is valid for any hermitian positive deﬁnite matrix estimate...

Persistent link: https://www.econbiz.de/10009639403

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 error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10009639853

Aggregation and euro area Phillips curves

Fabiani, Silvia; Morgan, Julian - 2003

This paper examines the issue of the impact of aggregation in the empirical analysis of euro area labour markets. A Phillips Curve describing the adjustment of unit labour costs is estimated at the national and aggregate level for the 5 largest euro area countries. Potential sources of...

Persistent link: https://www.econbiz.de/10009639854

Imposing parsimony in cross-country growth regressions

Jarociński, Marek - 2010

The number of variables related to long-run economic growth is large compared with the number of countries. Bayesian model averaging is often used to impose parsimony in the cross-country growth regression. The underlying prior is that many of the considered variables need to be excluded from...

Persistent link: https://www.econbiz.de/10009640306

Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

Persistent link: https://www.econbiz.de/10009640464

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-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...

Persistent link: https://www.econbiz.de/10009640913