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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 is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10004998848
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Les marchés financiers anticipent-ils les retournements conjoncturels?
Bellone, B.; Gautier, E.; Le Coent, S. - Banque de France - 2005
This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...
Persistent link: https://www.econbiz.de/10005056509
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The changing role of house price dynamics over the business cycle
Dufrénot, G.; Malik, S. - Banque de France - 2010
In this paper, we attempt to analyse the relationship between house price developments and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...
Persistent link: https://www.econbiz.de/10008765722
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Forecasting Inflation in the Euro Area
Bruneau, C.; De Bandt, O.; Flageollet, A. - Banque de France - 2003
indicators help improve upon the simple Autoregressive (AR) model for forecasting HICP core inflation as well total inflation, if …
Persistent link: https://www.econbiz.de/10005056518
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Inflation and the Markup in the Euro Area
Bruneau, C.; De bandt, O.; Flageollet, A. - Banque de France - 2004
inflation through an error-correcting mechanism. Structural and forecasting equations exhibiting good performance are therefore …
Persistent link: https://www.econbiz.de/10005056520
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Forecasting Inflation using Economic Indicators: the Case of France
Bruneau, C.; De Bandt, O.; Flageollet, A.; Michaux, E. - Banque de France - 2003
In order to provide short run forecasts of headline and core HICP inflation for France, we assess the forecasting … stable forecasting performance over time. Results for HICP excluding unprocessed food and energy are very encouraging …
Persistent link: https://www.econbiz.de/10005056546
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Macroeconomic forecasting during the Great Recession: The return of non-linearity?
Ferrara, L.; Marcellino, M.; Mogliani, M. - Banque de France - 2012
The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession … provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models … some countries and/or variables appear to be more adapted to non-linear forecasting. …
Persistent link: https://www.econbiz.de/10010550857
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The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area.
Mésonnier, J-S. - Banque de France - 2006
The real interest rate gap or IRG -the gap between the short term real interest rate and its "natural" level-, is a theoretical concept that has attracted much attention in central banks in recent years. This paper aims at clarifying its practical relevance for monetary policy in real time. For...
Persistent link: https://www.econbiz.de/10004998811
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MASCOTTE: Model for AnalySing and foreCasting shOrT TErm developments
Baghli, M.; Brunhes-Lesage, V.; De bandt, O.; Fraisse, H.; … - Banque de France - 2004
MASCOTTE is the new version of the Banque de France's macro-econometric forecasting model. Following the last rebasing …
Persistent link: https://www.econbiz.de/10005056499
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Variable Selection in Predictive MIDAS Models
Marsilli, C. - Banque de France - 2014
In short-term forecasting, it is essential to take into account all available information on the current state of the … cross-validation procedure that allows automatic in-sample selection based on recent forecasting performances. Then the … developed techniques are assessed with regards to their forecasting power of US economic growth during the period 2000 …
Persistent link: https://www.econbiz.de/10010961062