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How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies

Banerjee, A.; Bystrov, V.; Mizen, P. - Banque de France - 2012

In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model -...

Persistent link: https://www.econbiz.de/10009651277

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

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

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

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

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