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Understanding and forecasting aggregate and disaggregate price dynamics

Bermingham, Colin; D’Agostino, Antonello - European Central Bank - 2011

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …

Persistent link: https://www.econbiz.de/10009228752

Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area

Beyer, Andreas; Juselius, Katarina - European Central Bank - 2010

Beyer, Doornik and Hendry (2000, 2001) show analytically that three out of four aggregation methods yield problematic … the choice of aggregation method. JEL Classification: C32, C42, E41 …

Persistent link: https://www.econbiz.de/10008480911

Why has broad money demand been more stable in the euro area than in other economies? A literature review

Calza, Alessandro; Sousa, João - European Central Bank - 2003

JEL Classification: E41, C22, C32

Persistent link: https://www.econbiz.de/10005530979

Is the demand for euro area M3 stable?

Warne, Anders; Bruggeman, Annick; Donati, Paola - European Central Bank - 2003

JEL Classification: C22, C32, E41

Persistent link: https://www.econbiz.de/10005531005

Trade adjustment in the European Union - a structural estimation approach

Corbo, Vesna; Osbat, Chiara - European Central Bank - 2013

We estimate the elasticity of substitution of a country’s imports, and that of its exports on the world market, for EU countries using sector level trade data. We present a new empirical strategy based on the identification scheme by Feenstra (1994), which enables the estimation of...

Persistent link: https://www.econbiz.de/10010686740

Aggregation, the skill premium, and the two-level production function

León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - European Central Bank - 2011

We examine the two-level nested Constant Elasticity of Substitution production function where both capital and labor are disaggregated in two classes. We propose a normalized system estimation method to retrieve estimates of the inter- and intra-class elasticities of substitution and...

Persistent link: https://www.econbiz.de/10009371718

Are there oil currencies? The real exchange rate of oil exporting countries

Habib, Maurizio Michael; Kalamova, Margarita Manolova - European Central Bank - 2007

This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil-exporting countries: Norway, Russia and Saudi Arabia. We create our measure of the real effective exchange rates for Norway and Saudi Arabia (1980-2006) and for Russia (1995-2006),...

Persistent link: https://www.econbiz.de/10005530806

The behaviour of the real exchange rate: evidence from regression quantiles

Nikolaou, Kleopatra - European Central Bank - 2006

We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...

Persistent link: https://www.econbiz.de/10005530824

Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk

Ca' Zorzi, Michele; Muck, Jakub; Rubaszek, Michał - European Central Bank - 2013

This paper brings three new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP model is able to forecast real exchange rates (RER) better than the random walk (RW) model at both short and long-term horizons. Secondly, we find that this result holds only...

Persistent link: https://www.econbiz.de/10010686845

Modelling Ireland’s exchange rates: from EMS to EMU

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - European Central Bank - 2007

This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...

Persistent link: https://www.econbiz.de/10005227548