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Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012

While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the...

Persistent link: https://www.econbiz.de/10010538810

Estimating and forecasting the euro area monthly national accounts from a dynamic factor model

Angelini, Elena; Bańbura, Marta; Rünstler, Gerhard - European Central Bank - 2008

We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting...

Persistent link: https://www.econbiz.de/10005530975

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012

Persistent link: https://www.econbiz.de/10010686833

Nowcasting

Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - European Central Bank - 2010

We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this … collected at low frequency and published with long delays. Until recently, nowcasting had received very little attention by the … basis of simple models. We argue that the nowcasting process goes beyond the simple production of an early estimate as it …

Persistent link: https://www.econbiz.de/10008752568

Fiscal policy in real time

Cimadomo, Jacopo - European Central Bank - 2008

This paper argues that any assessment on the intentional stance of fiscal policy should be based upon all the information available to policymakers at the time of fiscal planning. In particular, real-time data on the discretionary fiscal policy "instrument", the structural primary balance,...

Persistent link: https://www.econbiz.de/10005344836

Monetary policy rules, macroeconomic stability and inflation: a view from the trenches

Orphanides, Athanasios - European Central Bank - 2001

I estimate a forward-looking monetary policy reaction function for the Federal Reserve for the periods before and after Paul Volcker's appointment as Chairman in 1979, using information that was available to the FOMC in real time from 1966 to 1995. The results suggest broad similarities in...

Persistent link: https://www.econbiz.de/10005344906

Identifying the effects of government spending shocks with and without expected reversal: an approach based on U.S. real-time data

Cimadomo, Jacopo; Hauptmeier, Sebastian; Sola, Sergio - European Central Bank - 2011

This paper investigates how expectations about future government spending affect the transmission of fiscal policy shocks. We study the effects of two different types of government spending shocks in the United States: (i) spending shocks that are accompanied by an expected reversal of public...

Persistent link: https://www.econbiz.de/10009210933

Real-time data and fiscal policy analysis: a survey of the literature

Cimadomo, Jacopo - European Central Bank - 2011

This paper surveys the empirical research on fiscal policy analysis based on real-time data. This literature can be broadly divided in three groups that focus on: (1) the statistical properties of revisions in fiscal data; (2) the political and institutional determinants of projection errors by...

Persistent link: https://www.econbiz.de/10009399395

Real time estimates of the euro area output gap: reliability and forecasting performance

Marcellino, Massimiliano; Musso, Alberto - European Central Bank - 2010

This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates available from 1999 to 2006. It turns out that real-time estimates of the...

Persistent link: https://www.econbiz.de/10008541291

Towards a robust monetary policy rule for the euro area

Blattner, Tobias; Margaritov, Emil - European Central Bank - 2010

Estimations of simple monetary policy rules are often very rigid. Standard practice requires that a decision is made as to which indicators the central bank is assumed to respond to, ignoring the data-rich environment in which policy-makers typically form their decisions. However, the choice of...

Persistent link: https://www.econbiz.de/10008553111