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The macroeconomic forecasting model of the MNB
Békési, László; Köber, Csaba; Kucsera, Henrik; … - 2016
forecasting model necessary in the MNB. The model represents a small open economy. It is based on the DSGE philosophy but it … deviates from it at several points. The new features of the model, compared to previous forecasting models of the MNB, are that … analysis, and the model fits into the MNB’s forecasting framework successfully. …
Persistent link: https://www.econbiz.de/10011571328
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Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar - 2023
We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the...
Persistent link: https://www.econbiz.de/10014550288
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Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005
This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...
Persistent link: https://www.econbiz.de/10011583556
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Disciplining expectations and the forward guidance puzzle
Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020
behaviour of these expectations. We show that the introduction of survey and financial market-based forecasts in the estimation …
Persistent link: https://www.econbiz.de/10012241110
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Modern forecasting models in action : improving macroeconomic analyses at central banks
Adolfson, Malin; Andersson, Michael K.; Lindé, Jesper; … - 2006 - Revised version
There are many indications that formal methods are not used to their full potential by central banks today. In this paper we demonstrate how BVAR and DSGE models can be used to shed light on questions that policy makers deal with in practice using data from Sweden. We compare the forecast...
Persistent link: https://www.econbiz.de/10011585648
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Endogenous forward guidance
Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2018
We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting to keep interest rates low at the exit of the...
Persistent link: https://www.econbiz.de/10011920684
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The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model
Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas - 2018
This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank's (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we...
Persistent link: https://www.econbiz.de/10011804879
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Endogenous forward guidance
Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; … - 2019
We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting to keep interest rates low at the exit of the...
Persistent link: https://www.econbiz.de/10012304687
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Deflation Probability and the Scope for Monetary Loosening in the United Kingdom
Haberis, Alex - 2016
In this paper, we use an estimated DSGE model of the UK economy to investigate perceptions of the effectiveness of monetary policy since the onset of the 2007–08 financial crisis in a number of measures of deflation probability — the Survey of Economic Forecasts, financial-market option...
Persistent link: https://www.econbiz.de/10012979756
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NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform
Burgess, Nicholas - 2021
In this PowerPoint presentation we give an overview of yield curves, show how they are modelled and calibrated and give a brief overview of LIBOR reform.Firstly we explain how to calibrate curves to imply forward rates & discount factors. Secondly, we outline the interpolation, optimization and...
Persistent link: https://www.econbiz.de/10013234561