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Forecasting the world economy in the short-term

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

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, rst, at ranking various forecasting methods in terms...

Persistent link: https://www.econbiz.de/10005866572

DISAGREEMENT AMONG FORECASTERS IN G7 COUNTRIES

Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jirka - European Central Bank - 2009

, consumption, investment and unemployment)has a distinct dynamic from disagreement about nominal variables(inflation and interest … series. Countryby-country regressions for inflation and interest... …

Persistent link: https://www.econbiz.de/10005866467

Asset price misalignments and the role of money and credit

Gerdesmeier, Dieter; Reimers, Hans-Eggert; Roffia, Barbara - European Central Bank - 2009

This paper contributes to the literature on the properties of money and creditindicators for detecting asset price misalignments. After a review of the evidence inthe literature on this issue, the paper discusses the approaches that can be consideredto detect asset price busts. Considering a...

Persistent link: https://www.econbiz.de/10005866513

Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; apetanios, George; Labhard, Vincent - European Central Bank - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometricforecasting literature in the recent past. Despite the flurry of activityin the area, a number of specification issues such as the choice of the number offactors in the forecasting regression, the benefits...

Persistent link: https://www.econbiz.de/10005866599

Inflation Forecasts, monetary policy and unemployment dynamics: evidence from the US and the euro area

Altavilla, Carlo; Ciccarelli, Matteo - European Central Bank - 2007

This paper explores the role that inflation forecasts play in the uncertainty surrounding the estimated effects of … alternative monetary rules on unemployment dynamics in the euro area and the US. We use the inflation forecasts of 8 competing … relative to the different inflation models under two rules. The results suggest that model uncertainty can be a serious issue …

Persistent link: https://www.econbiz.de/10005816249

Eigenvalue filtering in VAR models with application to the Czech business cycle

Beneš, Jaromír; Vávra, David - European Central Bank - 2005

model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import …

Persistent link: https://www.econbiz.de/10005162924

Fiscal policy and the great recession in the Euro area

Coenen, Günter; Straub, Roland; Trabandt, Mathias - European Central Bank - 2012

How much did fiscal policy contribute to euro area real GDP growth during the Great Recession? We estimate that discretionary fiscal measures have increased annualized quarterly real GDP growth during the crisis by up to 1.6 percentage points. We obtain our result by using an extended version of...

Persistent link: https://www.econbiz.de/10010541257

Analysis of variance for bayesian inference

Geweke, John; Amisano, Gianni - European Central Bank - 2011

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...

Persistent link: https://www.econbiz.de/10009399787

Forecasting with DSGE models

Christoffel, Kai; Warne, Anders; Coenen, Günter - European Central Bank - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10008516222

Predictive likelihood comparisons with DSGE and DSGE-VAR models

Warne, Anders; Coenen, Günter; Christoffel, Kai - European Central Bank - 2013

This paper shows how to compute the h-step-ahead predictive likelihood for any subset of the observed variables in parametric discrete time series models estimated with Bayesian methods. The subset of variables may vary across forecast horizons and the problem thereby covers marginal and joint...

Persistent link: https://www.econbiz.de/10010686802

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