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Semi-structural VAR and unobserved components models to estimate finance-neutral output gap

Kátay, Gábor; Kerdelhué, Lisa; Lequien, Matthieu - 2020

The paper assesses the impact of adding information on financial cycles on the output gap estimates for eight advanced economies using two unobserved components models: a reduced form extended Hodrick-Prescott filter, and a standard semi-structural unobserved components model. To complement...

Persistent link: https://www.econbiz.de/10012320331

Time-varying business volatility, price setting, and the real effects of monetary policy

Bachmann, Ruediger; Born, Benjamin; Elstner, Steffen; … - 2013

Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy into the real economy? To address this question, we estimate from the firm-level micro data of the German IFO Business Climate Survey the impact of idiosyncratic volatility on the...

Persistent link: https://www.econbiz.de/10009767295

The Global Multi-country model (GM) : an estimated DSGE model for the Euro Area countries

Albonico, Alice; Calès, Ludovic; Cardani, Roberta; … - 2017

This paper presents the European Commission's Global Multi-country model (the GM model). The GM model is an estimated multi-country DSGE model that can be used for spillover analysis, forecasting and medium term projections. Its development is jointly performed by the Joint Research Centre and...

Persistent link: https://www.econbiz.de/10012054701

Real and financial cycles in EU countries : stylised facts and modelling implications

Rünstler, Gerhard (contributor); … - European System of Central Banks / Working Group on … - 2018

This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears...

Persistent link: https://www.econbiz.de/10011779865

Implications of output gap uncertainty in times of crisis

Bouis, Romain; Cournède, Boris; Christensen, Ane Kathrine - 2012

more weight on alternative indicators of inflation pressure such as wage settlements, trends in unit labour costs and a … wide range of indicators of inflation expectations. The recent fall in margins observed in some countries may, for instance … States, the large unemployment gap could also keep wage inflation under pressure despite a flattening Phillips curve. These …

Persistent link: https://www.econbiz.de/10009690945

Keeping track of global trade in real time

Martínez-Martín, Jaime; Rusticelli, Elena - 2018

This paper builds an innovative composite world trade cycle index (WTI) by means of a dynamic factor model to monitor and perform short-term forecasts in real time of world trade growth of both goods and (usually neglected) services. The selection of trade indicator series is made using a...

Persistent link: https://www.econbiz.de/10011995789

Implications of macroeconomic volatility in the Euro area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of...

Persistent link: https://www.econbiz.de/10011978764

Macroeconomic effects of fiscal shocks in Portugal

Bova, Elva; Klyviene, Violeta - 2019

Persistent link: https://www.econbiz.de/10012169862

Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we...

Persistent link: https://www.econbiz.de/10012227436

State dependence in labour market fluctuations

Pizzinelli, Carlo; Theodoridis, Konstantinos; Zanetti, … - 2020

Persistent link: https://www.econbiz.de/10012584729