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Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model

Eickmeier, Sandra - Deutsche Bundesbank - 2006

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003....

Persistent link: https://www.econbiz.de/10005083190

Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities

Scharnagl, Michael; Schumacher, Christian - Deutsche Bundesbank - 2007

estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast …

Persistent link: https://www.econbiz.de/10005083269

Bayesian estimation of a DSGE model with asset prices

Kliem, Martin; Uhlig, Harald - Deutsche Bundesbank - 2013

constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications. …

Persistent link: https://www.econbiz.de/10010957151

Identifying the role of labor markets for monetary policy in an estimated DSGE model

Christoffel, Kai Philipp; Küster, Keith; Linzert, Tobias - Deutsche Bundesbank - 2006

We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...

Persistent link: https://www.econbiz.de/10005083212

Global business cycles: convergence or decoupling?

Kose, M. Ayhan; Otrok, Christopher M.; Prasad, Eswar S. - Deutsche Bundesbank - 2008

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

Persistent link: https://www.econbiz.de/10005083323

Capital, labour and productivity: What role do they play in the potential GPD weakness of France, Germany and Italy?

Bassanetti, Antonio; Döpke, Jörg; Torrini, Roberto; … - Deutsche Bundesbank - 2006

The paper analyses the recent supply side developments in France, Germany, and Italy by employing a non-parametric approach to estimate potential GDP. The analysis reveals marked heterogeneity among the three countries with regard to the contribution made by labour input. Where similarities can...

Persistent link: https://www.econbiz.de/10005083112

Employment, hours and optimal monetary policy

Dossche, Maarten; Lewis, Vivien; Poilly, Céline - Deutsche Bundesbank - 2015

We characterize optimal monetary policy in a New Keynesian search-and-matching model where multiple-worker firms satisfy demand in the short run by adjusting hours per worker. Imperfect product market competition and search frictions reduce steady state hours per worker below the efficient...

Persistent link: https://www.econbiz.de/10011161235

Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - Deutsche Bundesbank - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. …

Persistent link: https://www.econbiz.de/10010957109

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - Deutsche Bundesbank - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10005083172

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - Deutsche Bundesbank - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10005083173