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Prediction using several macroeconomic models
Amisano, Gianni; Geweke, John - European Central Bank - 2013
Prediction of macroeconomic aggregates is one of the primary functions of macroeconometric models, including dynamic factor models, dynamic stochastic general equilibrium models, and vector autoregressions. This study establishes methods that improve the predictions of these models, using a...
Persistent link: https://www.econbiz.de/10010686882
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optimal monetary Policy in a new keynesian model with habits in consumption
Leith, Campbell; Moldovan, Ioana; Rossi, Raffaele - European Central Bank - 2009
While consumption habits have been utilised as a means of generating a hump shapedoutput response to monetary policy shocks in sticky-price New Keynesian economies,there is relatively little analysis of the impact of habits (particularly, external habits) onoptimal policy. In this paper we...
Persistent link: https://www.econbiz.de/10005866485
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Background studies for the ECB's evaluation of its monetary policy strategy
Issing, Otmar (contributor) - European Central Bank - 2003
Persistent link: https://www.econbiz.de/10004820102
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The role of money : money and monetary policy in the twenty-first century
Beyer, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10004924307
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Autoregressions in small samples, priors about observables and initial conditions
Jarociński, Marek; Marcet, Albert - European Central Bank - 2010
We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by different default initial conditions. These initial conditions are...
Persistent link: https://www.econbiz.de/10008694053
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Non-standard monetary policy measures and monetary developments
Giannone, Domenico; Lenza, Michele; Pill, Huw; … - European Central Bank - 2011
Standard accounts of the Great Depression attribute an important causal role to monetary policy errors in accounting for the catastrophic collapse in economic activity observed in the early 1930s. While views vary on the relative importance of money versus credit contraction in the propagation...
Persistent link: https://www.econbiz.de/10008788687
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - European Central Bank - 2010
countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply … through error spillover effects. Bootstrapped error bands are also provided for the cross country responses of a shock to the …
Persistent link: https://www.econbiz.de/10008642631
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ECB - Working paper series
European Central Bank
The ECB Working Paper Series seeks to disseminate economic research on issues that are relevant to the various tasks and functions of the ECB. The Series invites submissions of research work by ECB staff and visitors. Papers by researchers not affiliated with the ECB may also be considered for...
Persistent link: https://www.econbiz.de/10009635880