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Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach

Vitek, Francis - 2012

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...

Persistent link: https://www.econbiz.de/10013102206

Phillips curves in the euro area

Moretti, Laura; Onorante, Luca; Saber, Shayan Zakipour - 2019

We perform a robust estimation of the Phillips curve in the euro area using a battery of 630 theory-driven models. We …

Persistent link: https://www.econbiz.de/10012030232

Policy Analysis and Forecasting in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission...

Persistent link: https://www.econbiz.de/10013060545

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...

Persistent link: https://www.econbiz.de/10011924714

Term Structure, Forecast Revision and the Signaling Channel of Monetary Policy

Zhang, Donghai - 2019

Monetary policy shocks affect interest rates at long horizons (10 years or more). Furthermore, the private sector's real GDP forecasts are revised upward in response to a monetary tightening. These facts challenge the prevailing theories in academic and policy circles. In this paper, I propose a...

Persistent link: https://www.econbiz.de/10012890145

Uncertainty about QE effects when an interest rate peg is anticipated

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2018

After hitting the lower bound on interest rates, the Eurosystem engaged in a public sector purchase programme (PSPP) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter uncertainty in an analysis of these policies. We model FG as an...

Persistent link: https://www.econbiz.de/10011846905

Does My Model Predict a Forward Guidance Puzzle?

Gibbs, Christopher - 2020

We provide sufficient conditions for when a rational expectations structural model predicts bounded responses of endogenous variables to forward guidance announcements. The conditions coincide with a special case of the well-known (E)xpectation-stability conditions that govern when agents can...

Persistent link: https://www.econbiz.de/10012827118

Indeterminacy and Forecastability

Fujiwara, Ippei - 2015

Recent studies document the deteriorating performance of forecasting models during the Great Moderation, which conversely implies that forecastability was higher in the preceding era when the economy was unexpectedly volatile. We explain this phenomenon in the context of equilibrium...

Persistent link: https://www.econbiz.de/10013035349

Structural changes and the role of monetary aggregates in the UK

Bissoondeeal, Rakesh K.; Karoglou, Michail; Binner, Jane M. - In: Journal of financial stability 42 (2019), pp. 100-107

Persistent link: https://www.econbiz.de/10012259898

Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors

Aye, Goodness C. - 2017

investment over an out-of-sample period from 1983:Q1 to 2011:Q2, based on an in-sample estimates for 1963:Q1 to 1982:Q4. Both …, as well as 20 bivariate regression models, capture the influence of fundamentals in forecasting residential investment … residential investment, via an ex-ante forecast exercise from 2011:Q3 to 2012:Q4. The SSVS-Large model forecasts the turning …

Persistent link: https://www.econbiz.de/10012973249