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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 … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10004998848
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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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Forecasting Inflation in the Euro Area
Bruneau, C.; De Bandt, O.; Flageollet, A. - Banque de France - 2003
In order to provide medium run forecasts of headline and core HICP inflation for the euro area, we assess the usefulness of dynamic factor models. We use Stock and Watson's (1999) out-of-sample methodology for models estimated over the 1988:1-2002:3 period, with balanced and unbalanced panels....
Persistent link: https://www.econbiz.de/10005056518
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Inflation and the Markup in the Euro Area
Bruneau, C.; De bandt, O.; Flageollet, A. - Banque de France - 2004
The paper implements a consistent empirical strategy in order to investigate the behaviour of the markup over the cycle and its contribution to inflation movements. We model the price series as I(2) components and use polynomial cointegration in order to recover a long-run price schedule. We do...
Persistent link: https://www.econbiz.de/10005056520
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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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Tails of Inflation Forecasts and Tales of Monetary Policy
Andrade, P.; Ghysels, E.; Idier, J. - Banque de France - 2012
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...
Persistent link: https://www.econbiz.de/10010815970
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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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Convergence of Euro Area Inflation Rates
Lopez, C.; Papell, David H. - Banque de France - 2011
events such as the advent of the Euro and the 2008 financial crisis. Due to the small size of the estimation sample, we …
Persistent link: https://www.econbiz.de/10009019288
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The changing role of expectations in US monetary policy: A new look using the Livingston Survey
Banerjee, A.; Malik, S. - Banque de France - 2012
important issue which has remained rather hidden in the discussions surrounding the estimation of TVP-SVARs, yet may have a …
Persistent link: https://www.econbiz.de/10010816004
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Une estimation de la cible implicite d’inflation dans la zone euro
Fève, P.; Matheron, J.; Sahuc, J-G. - Banque de France - 2009
Euro area countries as a whole have experienced a marked downward trend over the 1980s. Over this period, the unemployment rate has increased and economic activity has been sluggish. Changes in the implicit inflation target, viewed as low frequency movements of inflation, might possibly explain...
Persistent link: https://www.econbiz.de/10008477171