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Macroeconomic uncertainty and the impact of oil shocks

Van Robays, Ine - European Central Bank - 2012

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

Persistent link: https://www.econbiz.de/10010686822

Forecasting the world economy in the short-term

Jakaitiene, Audrone; Dées, Stéphane - European Central Bank - 2009

forecasts (bottom-up approaches). Overall, all methods perform better than a simple benchmark for short horizons (up to three … out-perform bottom-up ones for real variables, but not for prices. Finally, when country-specific forecasts are adjusted … to match direct forecasts at the aggregate levels (top-down approaches), the forecast accuracy is neither improved nor …

Persistent link: https://www.econbiz.de/10005002752

Monetary policy with judgment: forecast targeting

Svensson, Lars E. O. - European Central Bank - 2005

“Forecast targeting,” forward-looking monetary policy that uses central-bank judgment to construct optimal policy projections of the target variables and the instrument rate, may perform substantially better than monetary policy that disregards judgment and follows a given instrument rule....

Persistent link: https://www.econbiz.de/10005162896

Forecasting macroeconomic variables for the new member states of the European Union

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - European Central Bank - 2005

The accession of ten countries into the European Union makes the forecasting of their key macroeconomic indicators an exercise of some importance. Because of the transition period, only short spans of reliable time series are available, suggesting the adoption of simple time series models as...

Persistent link: https://www.econbiz.de/10005033417

Forecasting world trade: direct versus “bottom-up” approaches

Burgert, Matthias; Dées, Stéphane - European Central Bank - 2008

from an aggregation of country-specific forecasts. Factor models in particular prove rather accurate, where the factors …

Persistent link: https://www.econbiz.de/10005816148

The role of oil prices in the euro area economy since the 1970s

Hahn, Elke; Mestre, Ricardo - European Central Bank - 2011

This paper explores the role of oil prices in the euro area economy since the 1970s by applying a VAR framework with time varying parameters and stochastic volatility in which oil supply and global demand shocks are identified. Our results show that both types of shock contributed substantially...

Persistent link: https://www.econbiz.de/10009149023

What is driving oil futures prices? Fundamentals versus speculation

Vansteenkiste, Isabel - European Central Bank - 2011

, high uncertainty about future oil demand, and the oil price deviation from fundamentals or the price trend is small, we …

Persistent link: https://www.econbiz.de/10009276058

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - European Central Bank - 2014

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10011067221

Optimal monetary policy and the transmission of oil-supply shocks to the euro area under rational expectations

Adjemian, Stéphane; Darracq Pariès, Matthieu - European Central Bank - 2008

This paper presents first the estimation of a two-country DSGE model for the euro area and the rest-of-the-world including relevant oil-price channels. We then investigate the optimal resolution of the policy tradeoffs emanating from oil-price disturbances. Our simulations show that the...

Persistent link: https://www.econbiz.de/10004969156

Will oil prices decline over the long run?

Kaufmann, Robert; Karadeloglou, Pavlos; Mauro, Filippo di - European Central Bank - 2008

At present, oil markets appear to be behaving in a fashion similar to that in the late 1970s and early 1980s when oil prices rose sharply over an extended period. Furthermore, like at that time, analysts are split on whether such increases will persist or reverse, and if so by how much. The...

Persistent link: https://www.econbiz.de/10005222259