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...

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...

We compute optimized monetary policy rules for the ECB when the euro area economy is described by a small empirical macroeconomic model with a time-varying natural interest rate which is positively correlated with fluctuations in trend output growth. We investigate the consequences of both...

We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...

We propose a new filtering and smoothing technique for non-linear state-space models. Observed variables are quadratic functions of latent factors following a Gaussian VAR. Stacking the vector of factors with its vectorized outer-product, we form an augmented state vector whose first two...

We use the ECB Survey of Professional Forecasters to characterize the dynamics of expectations at the micro level. We find that forecasters (i) have predictable forecast errors; (ii) disagree; (iii) fail to systematically update their forecasts in the wake of new information; (iv) disagree even...

In this paper, we analyse the interactions between monetary and macro-prudential policies and the circumstances under which such interactions call for their coordinated implementation. We start with a review of the interdependencies between monetary and macro-prudential policies. Then, we use a...

This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However,...

This paper introduces the new Monthly Index of Business Activity (MIBA) model of the Banque de France for forecasting France's GDP. As the previous versions, the model relies exclusively on data from the monthly business survey (EMC) conducted by the Banque de France. However, several major...

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...