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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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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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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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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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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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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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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
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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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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