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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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Are disaggregate data useful for factor analysis in forecasting French GDP?
Barhoumi, K.; Darné, O.; Ferrara, L. - Banque de France - 2009
This paper compares the GDP forecasting performance of alternative factor models based on monthly time series for the … obtained using time and frequency domain methods. The forecasting accuracy is evaluated in two ways for GDP growth. First, we …
Persistent link: https://www.econbiz.de/10005034717
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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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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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Business surveys modelling with Seasonal-Cyclical Long Memory models.
Ferrara, L.; Guégan, D. - Banque de France - 2008
Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the...
Persistent link: https://www.econbiz.de/10005036179
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Forecasting Euro-area recessions using time-varying binary response models for financial.
Bellégo, C.; Ferrara, L. - Banque de France - 2009
Recent macroeconomic evolutions during the years 2008 and 2009 have pointed out the impact of financial markets on economic activity. In this paper, we propose to evaluate the ability of a set of financial variables to forecast recessions in the euro area by using a non-linear binary response...
Persistent link: https://www.econbiz.de/10008556977
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Leading Indicators of Currency Crises in Emerging Economies.
Burkart, O.; Coudert, V. - Banque de France - 2000
This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzing such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.
Persistent link: https://www.econbiz.de/10005036195
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Leading Indicators of Currency Crises in Emerging Economies.
Burkart, O.; Coudert, V. - Banque de France - 2000
This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzinf such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.
Persistent link: https://www.econbiz.de/10005646659