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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - European Central Bank - 2009

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...

Persistent link: https://www.econbiz.de/10008458420

Diversification in euro area stock markets: country versus industry

Moerman, Gerard - European Central Bank - 2004

The harmonisation of fiscal and economic policy within the European Monetary Union (EMU) has had a considerable impact on the economies of member countries in the past decade. In particular, several studies indicate that the proceeding economic integration among euro area countries has important...

Persistent link: https://www.econbiz.de/10005530737

Cross-border diversification in bank asset portfolios

Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - European Central Bank - 2005

Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...

Persistent link: https://www.econbiz.de/10005222303

The Dutch block of the ESCB multi-country model

Angelini, Elena; Boissay, Frédéric; Ciccarelli, Matteo - European Central Bank - 2006

The paper presents the Dutch country block of the ESCB Multi-Country Model (MCM) for the euro area. We show how a theoretical model is translated into an econometric specification and how this specification is in turn estimated and used in the projection exercises of the E(S)CB. The dynamic...

Persistent link: https://www.econbiz.de/10005530683

The central bank as a risk manager: quantifying and forecasting inflation risks

Kilian, Lutz; Manganelli, Simone - European Central Bank - 2003

within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … forecast the risks of worldwide deflation for horizons of up to two years. Although recently fears of worldwide deflation have …

Persistent link: https://www.econbiz.de/10005530801

Explaining and forecasting euro area exports: which competitiveness indicator performs best?

Ca' Zorzi, Michele; Schnatz, Bernd - European Central Bank - 2007

for addressing the question from an empirical angle, searching for the indicator that best explains and helps forecast …

Persistent link: https://www.econbiz.de/10005530816

Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006

The paper shows that there is a substantial degree of heterogeneity in forecast accuracy among Fed watchers. Based on a … novel database for 268 professional forecasters since 1999, the average forecast error of FOMC decisions varies 5 to 10 … financial market volatility after FOMC meetings. Finally, Fed communication may exert an influence on forecast accuracy. JEL …

Persistent link: https://www.econbiz.de/10005530863

Forecasting ECB monetary policy: accuracy is (still) a matter of geography

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006

countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …

Persistent link: https://www.econbiz.de/10005530894

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The...

Persistent link: https://www.econbiz.de/10010753741

An economic capital model integrating credit and interest rate risk in the banking book

Alessandri, Piergiorgio; Drehmann, Mathias - European Central Bank - 2009

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...

Persistent link: https://www.econbiz.de/10005002780