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Taking stock: monetary policy transmission to equity markets

Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2004

This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...

Persistent link: https://www.econbiz.de/10005070377

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

Macroeconomic vulnerability and disagreement in expectations

Badarinza, Cristian; Buchmann, Marco - European Central Bank - 2011

In this paper we discuss the role of the cross-sectional heterogeneity of beliefs in the context of understanding and assessing macroeconomic vulnerability. Emphasis lies on the potential of changing levels of disagreement in expectations to influence the propensity of the economy to switch...

Persistent link: https://www.econbiz.de/10009645430

The global financial crisis: trying to understand the global trade downturn and recovery

Anderton, Robert; Tewolde, Tadios - European Central Bank - 2011

This paper aims to shed light on why the downturn in global trade during the intensification of the financial crisis in 2008Q4-2009Q1 was so severe and synchronized across the world, and also examines the subsequent recovery in global trade during 2009Q2-2010Q1. The paper finds that a structural...

Persistent link: https://www.econbiz.de/10009277148