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Is Economic Recovery a Myth? Robust Estimation of Impulse Responses

Teulings, Coen N; Zubanov, Nick - C.E.P.R. Discussion Papers - 2010

There is a lively debate on the persistence of the current banking crisis' impact on GDP. Impulse Response Functions (IRF) estimated by Cerra and Saxena (2008) suggest that the effects of earlier crises were long-lasting. We show that standard estimates of IRFs are highly sensitive to...

Persistent link: https://www.econbiz.de/10008530359

Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth

Camacho, Maximo; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2009

We set out a model to compute short-term forecasts of the euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. With this data...

Persistent link: https://www.econbiz.de/10005034764

Modelling and Forecasting UK Mortgage Arrears and Possessions

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears …

Persistent link: https://www.econbiz.de/10008611018

Variable Selection and Inference for Multi-period Forecasting Problems

Pesaran, M Hashem; Pick, Andreas; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2009

univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate …

Persistent link: https://www.econbiz.de/10005114194

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both the latent common factor and the idiosyncratic components. We take a Bayesian perspective and derive a Gibbs sampler to obtain the posterior density of the model parameters. This...

Persistent link: https://www.econbiz.de/10011083444

Choosing the variables to estimate singular DSGE models

Canova, Fabio; Ferroni, Filippo; Matthes, Christian - C.E.P.R. Discussion Papers - 2013

We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second the vector that minimizes the informational discrepancy between the...

Persistent link: https://www.econbiz.de/10011083464

Extracting nonlinear signals from several economic indicators

Camacho, Maximo; Pérez-Quirós, Gabriel; Poncela, Pilar - C.E.P.R. Discussion Papers - 2012

-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non- linear …

Persistent link: https://www.econbiz.de/10011083476

Can we use seasonally adjusted indicators in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2012

We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The … the latter in all the simulated scenarios. Our results have important implications for the factor models literature … because they show the that the common practice of using seasonally adjusted data in this type of models is very accurate in …

Persistent link: https://www.econbiz.de/10011083553

Markov-switching dynamic factor models in real time

Camacho, Maximo; Pérez-Quirós, Gabriel; Poncela, Pilar - C.E.P.R. Discussion Papers - 2012

theoretical benefits of this extension and corroborate the results through several MonteCarlo simulations. Finally, we assess its …

Persistent link: https://www.econbiz.de/10011083562

A DSGE Model of China

Dai, Li; Minford, Patrick; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping … price/wage rigidity. When the overall models are tested by Likelihood or Indirect Inference methods, the New Keynesian model …

Persistent link: https://www.econbiz.de/10011083573