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Aggregation bias in macro models: does it matter foir the euro area?

Monteforte, Libero - Banca d'Italia - 2004

The euro area represents a case-study of great institutional relevance for the econometric problem of aggregation bias. The available data can be used to analyze the area either with aggregate or with country-specific models. The choice should be the result of a statistical comparison between...

Persistent link: https://www.econbiz.de/10005113587

Forecasting world output: the rising importance of emerging economies

Borin, Alessandro; Cristadoro, Riccardo; Golinelli, Roberto - Banca d'Italia - 2012

Assessing the global economic outlook is a fundamentally important task of international financial institutions, governments and central banks. In this paper we focus on the consequences of the rapid growth of emerging markets for monitoring and forecasting the global outlook. Our main results...

Persistent link: https://www.econbiz.de/10009654297

Structural reforms and macroeconomic performance in the euro area countries: a model-based assessment

Gomes, Sandra; Jacquinot, Pascal; Mohr, Matthias; … - Banca d'Italia - 2011

We quantitatively assess the macroeconomic effects of country-specific supply-side reforms in the euro area by simulating EAGLE, a multi-country dynamic general equilibrium model. We consider reforms in the labor and services markets of Germany (or, alternatively, Portugal) and the rest of the...

Persistent link: https://www.econbiz.de/10009364555

The EAGLE. A model for policy analysis of macroeconomic interdependence in the euro area

Gomes, Sandra; Jacquinot, Pascal; Pisani, Massimiliano - Banca d'Italia - 2010

Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and GLobal Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions...

Persistent link: https://www.econbiz.de/10008605943

Tracking world trade and GDP in real time

Golinelli, Roberto; Parigi, Giuseppe - Banca d'Italia - 2013

This paper proposes a simple procedure to obtain monthly assessments of short-run perspectives for quarterly world GDP and trade. It combines emerging and advanced countriesï¿½ high frequency information to explain quarterly national accounts variables through bridge models. The union of all...

Persistent link: https://www.econbiz.de/10011099662

Investment forecasting with business survey data

Leandro Dï¿½Aurizio; Iezzi, Stefano - Banca d'Italia - 2011

respondents who report ï¿½upï¿½ and ï¿½downï¿½. As a consequence, neither the heterogeneity of individual responses nor the panel … dimension of microdata is used. We illustrate the use of a disaggregate panel-based indicator that exploits all information … sample allows us to match exactly investment plans and investment realisations for each firm and so estimate a panel data …

Persistent link: https://www.econbiz.de/10009386392

Forecasting economic activity with higher frequency targeted predictors

Bulligan, Guido; Marcellino, Massimiliano; Venditti, … - Banca d'Italia - 2012

In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very short-term subject to a pre-selection of monthly indicators. Starting from a large information set, we select a subset of targeted predictors using data reduction techniques as in...

Persistent link: https://www.econbiz.de/10009645792

Selecting predictors by using Bayesian model averaging in bridge models

Bencivelli, Lorenzo; Marcellino, Massimiliano; Moretti, … - Banca d'Italia - 2012

This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models. BMA is a computationally feasible method that allows us to explore the model space even in the presence of a large set of candidate predictors. We test the performance of BMA...

Persistent link: https://www.econbiz.de/10011099660

Uncertainty and heterogeneity in factor models forecasting

Luciani, Matteo; Monteforte, Libero - Banca d'Italia - 2013

In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...

Persistent link: https://www.econbiz.de/10011099661

Comparing forecast accuracy: A Monte Carlo investigation

Busetti, Fabio; Marcucci, Juri; Veronese, Giovanni - Banca d'Italia - 2009

The size and power properties of several tests of equal Mean Square Prediction Error (MSPE) and of Forecast Encompassing (FE) are evaluated, using Monte Carlo simulations, in the context of dynamic regressions. For nested models, the F-type test of forecast encompassing proposed by Clark and...

Persistent link: https://www.econbiz.de/10008459745

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