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The financial content of inflation risks in the euro area.
Andrade, P.; Fourel, V.; Ghysels, E.; Idier, I. - Banque de France - 2013
Recent studies emphasize that survey-based inflation risk measures are informative about future inflation and thus useful for monetary authorities. However, these data are typically available at a quarterly frequency whereas monetary policy decisions require a more frequent monitoring of such...
Persistent link: https://www.econbiz.de/10010816003
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Tails of Inflation Forecasts and Tales of Monetary Policy
Andrade, P.; Ghysels, E.; Idier, J. - Banque de France - 2012
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do...
Persistent link: https://www.econbiz.de/10010815970
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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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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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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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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
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Fundamental disagreement.
Andrade, P.; Crump, R.; Eusepi, S.; Moench, E. - Banque de France - 2014
We use the term structure of disagreement of professional forecasters to document a novel set of facts: (1) forecasters disagree at all horizons, including the long run; (2) the term structure of disagreement differs markedly across variables: it is downward sloping for real output growth,...
Persistent link: https://www.econbiz.de/10011096085
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Nowcasting global economic growth: A factor-augmented mixed-frequency approach.
Ferrara, L.; Marsilli, C. - Banque de France - 2014
Facing several economic and financial uncertainties, assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is often considered...
Persistent link: https://www.econbiz.de/10010939336