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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

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

Inflation and the Markup in the Euro Area

Bruneau, C.; De bandt, O.; Flageollet, A. - Banque de France - 2004

inflation through an error-correcting mechanism. Structural and forecasting equations exhibiting good performance are therefore …

Persistent link: https://www.econbiz.de/10005056520

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

Forecasting GDP over the business cycle in a multi-frequency and data-rich environment

Bessec, M.; Bouabdallah, O. - Banque de France - 2012

This paper merges two specifications developed recently in the forecasting literature: the MS-MIDAS model introduced by …

Persistent link: https://www.econbiz.de/10010815990

Belief shocks and the macroeconomy.

Suda, J. - Banque de France - 2013

I study the role of shocks to beliefs combined with Bayesian learning in a standard equilibrium business cycle framework. By adapting ideas from Cogley and Sargent (2008b) to the general equilibrium setting, I am able to study how a prior belief arising from the Great Depression may have...

Persistent link: https://www.econbiz.de/10010816021

Short-term forecasts of French GDP: a dynamic factor model with targeted predictors.

Bessec, M. - Banque de France - 2012

forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according …

Persistent link: https://www.econbiz.de/10010593235

Les marchés financiers anticipent-ils les retournements conjoncturels?

Bellone, B.; Gautier, E.; Le Coent, S. - Banque de France - 2005

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...

Persistent link: https://www.econbiz.de/10005056509

The changing role of house price dynamics over the business cycle

Dufrénot, G.; Malik, S. - Banque de France - 2010

In this paper, we attempt to analyse the relationship between house price developments and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...

Persistent link: https://www.econbiz.de/10008765722

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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