Showing 1 - 10 of 130
We present a mixed-frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real-time is compared...
Persistent link: https://www.econbiz.de/10008605945
Recent empirical literature shows that key macro variables such as GDP and productivity display long memory dynamics. For DSGE models, we propose a �Generalized� Kalman Filter to deal effectively with this problem: our method connects to and innovates upon data-filtering techniques...
Persistent link: https://www.econbiz.de/10008626022
We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...
Persistent link: https://www.econbiz.de/10009654298
This paper investigates possible non-linearities in the response of bank lending to monetary policy shocks in the euro area. The credit market is modelled over the period 1985-2005 by means of an Asymmetric Vector Error Correction Model (AVECM) involving four endogenous variables (loans to the...
Persistent link: https://www.econbiz.de/10005111568
The paper examines the evolution of consumer confidence indices in Australia, Canada, France, Germany, Italy, Japan, the United Kingdom and the United States of America since the 1970s, by modelling them in a multivariate framework of common macroeconomic variables for each country. Results...
Persistent link: https://www.econbiz.de/10005113579
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
This paper analyzes the relationship between commodity prices and consumer food prices in the euro area and in its largest economies (Germany, France and Italy) and tests whether the latter respond asymmetrically to shocks to the former. The issue is of particular interest for those monetary...
Persistent link: https://www.econbiz.de/10011099718
This paper deals with the usefulness of several measures of financial spreads (the slope of the yield curve, the reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A quarterly Bayesian vector autoregression model is used to...
Persistent link: https://www.econbiz.de/10005111558
This paper studies the characteristics of the Italian nonfinancial firms using derivatives and the purpose of the derivatives use according to the most important literature in financial risk management. By using the Italian credit register and balance sheet data this study extends for the first...
Persistent link: https://www.econbiz.de/10011100366
a comprehensive and relatively straightforward theory for the asymptotic distribution of the maximum likelihood … estimator. The model is fitted to US macroeconomic time series and compared with Gaussian and Student-t models. A theory is then …
Persistent link: https://www.econbiz.de/10011099629