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Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
Mestre, Ricardo; McAdam, Peter - European Central Bank - 2008
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...
Persistent link: https://www.econbiz.de/10005530768
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Cointegration in panel data with breaks and cross-section dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - European Central Bank - 2006
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that...
Persistent link: https://www.econbiz.de/10005033432
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The impact of the euro on money and bond markets
Santillán, Javier; Bayle, Marc; Thygesen, Christian - European Central Bank - 2000
The paper provides an analysis of the euro area money and bond markets and their infrastructure since the introduction of the euro. Significant development in terms of integration took place in both markets in general to a various degree for the different segments. However, there remain room for...
Persistent link: https://www.econbiz.de/10004969144
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Internationally correlated jumps
Pukthuanthong, Kuntara; Roll, Richard - European Central Bank - 2012
are internationally correlated. Their possible inter-correlation is important for investors because international …
Persistent link: https://www.econbiz.de/10010686814
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - European Central Bank - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10005222351
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Asymmetric dynamics in the correlations of global equity and bond returns
Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - European Central Bank - 2003
JEL Classification: F3, G1, C5
Persistent link: https://www.econbiz.de/10005816158
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Nowcasting inflation using high frequency data
Modugno, Michele - European Central Bank - 2011
This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than … accurate estimates of inflation for the current and followings months. In particular, this paper uses the Weekly Oil Bulletin …
Persistent link: https://www.econbiz.de/10008917863
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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 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
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Technology, utilization and inflation: what drives the New Keynesian Phillips Curve?
McAdam, Peter; Willman, Alpo - European Central Bank - 2011
inflation”. We start from a careful modeling of optimal price setting allowing for non-unitary factor substitution, non …-stickiness estimates than otherwise and suggests a more balanced weight of backward and forward-looking inflation expectations than … commonly found. Our results challenge existing views of inflation determinants and have important implications for modeling …
Persistent link: https://www.econbiz.de/10009276059
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Feedback to the ECB's monetary analysis: the Bank of Russia's experience with some key tools
Ponomarenko, Alexey; Vasilieva, Elena; Schobert, Franziska - European Central Bank - 2012
for inflation and for real economic development. JEL Classification: E41, E52, E58 …
Persistent link: https://www.econbiz.de/10010686786