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Transmission of government spending shocks in the euro area: Time variation and driving forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - European Central Bank - 2010

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10008597023

Oil price shocks and real GDP growth: empirical evidence for some OECD countries

Jiménez-Rodríguez, Rebeca; Sánchez, Marcelo - European Central Bank - 2004

This paper assesses empirically the effects of oil price shocks on the real economic activity of the main industrialised countries. Multivariate VAR analysis is carried out using both linear and nonlinear models. The latter category includes three approaches employed in the literature, namely,...

Persistent link: https://www.econbiz.de/10005025570

Inflation targets and the liquidity trap

Klaeffling, Matt; López Pérez, Víctor - European Central Bank - 2003

JEL Classification: E31, E52, E58, E61

Persistent link: https://www.econbiz.de/10005530703

The role of country-specific trade and survey data in forecasting euro area manufacturing production: perspective from large panel factor models

Darracq Pariès, Matthieu; Maurin, Laurent - European Central Bank - 2008

forecasting euro area manufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset …

Persistent link: https://www.econbiz.de/10005344872

Should quarterly government finance statistics be used for fiscal surveillane in Europe?

Pedregal, Diego J.; Pérez, Javier J. - European Central Bank - 2008

content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …

Persistent link: https://www.econbiz.de/10005344878

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Diron, Marie - European Central Bank - 2006

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10005344945

Measuring monetary policy expectations from financial market instruments

Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen - European Central Bank - 2008

This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants’ expectations of future UK monetary policy rates. We attempt to evaluate these instruments and curves in terms of their ability to forecast policy rates over the period...

Persistent link: https://www.econbiz.de/10005344961

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

Persistent link: https://www.econbiz.de/10010538810

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 construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...

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

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - European Central Bank - 2011

We evaluate forecasts for the euro area in data-rich and ‘data-lean’ environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus...

Persistent link: https://www.econbiz.de/10009293720