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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
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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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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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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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Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?
Bec, F.; Mogliani, M. - Banque de France - 2013
This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and …
Persistent link: https://www.econbiz.de/10010815947
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In Defense of Early Warning Signals.
Bussière, M. - Banque de France - 2013
The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...
Persistent link: https://www.econbiz.de/10010815949
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New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach.
Mogliani, M.; Brunhes-Lesage, V.; Darné, O.; Pluyaud, B. - Banque de France - 2014
This paper introduces the new Monthly Index of Business Activity (MIBA) model of the Banque de France for forecasting … consistent with the time frame of real-time forecasting exercises: the first month equation is dominated by data on expected …
Persistent link: https://www.econbiz.de/10010815984
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Forecasting inflation in France.
Célérier, C. - Banque de France - 2009
The paper develops a model for forecasting inflation in France. As this model has to be integrated in the Eurosystem …
Persistent link: https://www.econbiz.de/10008503203
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An Inflation Forecasting Model for the Euro Area.
Chauvin, V.; Devulder, A. - Banque de France - 2008
developments. Finally, we assess the forecasting performance of the model in traditional in-sample and out-of-sample rolling event …
Persistent link: https://www.econbiz.de/10008528512