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Forecasting GDP over the business cycle in a multi-frequency and data-rich environment
Bessec, M.; Bouabdallah, O. - Banque de France - 2012
This paper merges two specifications developed recently in the forecasting literature: the MS-MIDAS model introduced by Guérin and Marcellino (2011) and the MIDAS-factor model considered in Marcellino and Schumacher (2010). The MS-factor MIDAS model (MS-FaMIDAS) that we introduce incorporates...
Persistent link: https://www.econbiz.de/10010815990
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Belief shocks and the macroeconomy.
Suda, J. - Banque de France - 2013
I study the role of shocks to beliefs combined with Bayesian learning in a standard equilibrium business cycle framework. By adapting ideas from Cogley and Sargent (2008b) to the general equilibrium setting, I am able to study how a prior belief arising from the Great Depression may have...
Persistent link: https://www.econbiz.de/10010816021
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DSGE Models in a Data-Rich Environment.
Boivin, J.; Giannoni, M. - Banque de France - 2007
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10004998848
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Short-term forecasts of French GDP: a dynamic factor model with targeted predictors.
Bessec, M. - Banque de France - 2012
to the forecast variable prior to factor estimation (targeted predictors). In particular, they propose using the LARS … (2011), which is particularly suitable for the very short-term forecast of GDP. A pseudo real-time evaluation on French data …
Persistent link: https://www.econbiz.de/10010593235
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Wealth Effects on Consumption Plans: French Households in the Crisis
Arrondel, L.; Savignac, F.; Tracol, K. - Banque de France - 2011
This paper analyzes the wealth effect on consumption in France by relying on two original household surveys. First, it provides the first estimate of the marginal propensity to consume out of wealth based on micro data for France (Enquête Patrimoine 2009, Insee): a low but significant wealth...
Persistent link: https://www.econbiz.de/10009352245
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Costs, demand, and producer price changes.
Loupias, C.; Sevestre, P. - Banque de France - 2010
estimation results as compared to those associated with a standard state-dependent model. Finally, our results point to an …
Persistent link: https://www.econbiz.de/10008503195
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Macro Price setting in the euro area: Some stylised facts from Individual Producer Price.
Dias, D.; Dossche, M.; Gautier, E.; Hernando, I.; … - Banque de France - 2007
This paper documents producer price setting in 6 countries of the euro area: Germany, France, Italy, Spain, Belgium and Portugal. It collects evidence from available studies on each of those countries and also provides new evidence. These studies use monthly producer price data. The following...
Persistent link: https://www.econbiz.de/10004998825
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Sticky Prices in the Euro Area: A Summary of New Micro Evidence,
Álvarez, L.; Dhyne, E.; Hoeberichts, M.; Kwapil, C.; … - Banque de France - 2005
This paper presents original evidence on price setting in the euro area at the individual level. We use micro data on consumer (CPI) and producer (PPI) prices, as well as survey information. Our main findings are: (i) prices in the euro area are sticky and more so than in the US; (ii) there is...
Persistent link: https://www.econbiz.de/10005056497
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Price Setting in the Euro Area: Some Stylized Facts from Individual Consumer Price Data.
Álvarez, L.; Dias, D.; Dhyne, E.; Hoffmann, J.; Jonker, N. - Banque de France - 2005
This paper documents patterns of price setting at the retail level in the euro area. A set of stylized facts on the frequency and size of price changes is presented along with an econometric investigation of their main determinants. Price adjustment in the euro area can be summarized in six...
Persistent link: https://www.econbiz.de/10005056525
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Wage and price joint dynamics at the firm level: an empirical analysis
Horny, G.; Sevestre, P. - Banque de France - 2010
This article provides evidence about the interrelationships between wages and prices at the microeconomic level. We rely on the right-to manage model to specify and estimate a multivariate model explaining the timing and magnitude of wage changes at the firm level. The modeling of price changes...
Persistent link: https://www.econbiz.de/10008764810