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The VIX, the variance premium and stock market volatility : N°1675, May 2014
Bekaert, Geert (contributor); Hoerova, Marie (contributor) - European Central Bank - 2014
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10015301930
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Forecasting inflation with thick models and neural networks
McNelis, Paul; McAdam, Peter - European Central Bank - 2004
This paper applies linear and neural network-based “thick” models for forecasting inflation based on Phillips …
Persistent link: https://www.econbiz.de/10005227535
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Predicting recession probabilities with financial variables over multiple horizons
Fornari, Fabio; Lemke, Wolfgang - European Central Bank - 2010
-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any … short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United …
Persistent link: https://www.econbiz.de/10008682901
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - European Central Bank - 2004
future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …
Persistent link: https://www.econbiz.de/10005227533
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Nonlinearities and heterogeneity in firms response to aggregate fluctuations : what can we learn from machine learning?
Errico, Marco (contributor); Pesce, Simone (contributor);  … - European Central Bank - 2025
Firms respond heterogeneously to aggregate fluctuations, yet standard linear models impose restrictive assumptions on firm sensitivities. Applying the Generalized Random Forest to U.S. firm-level data, we document strong nonlinearities in how firm characteristics shape responses to macroeconomic...
Persistent link: https://www.econbiz.de/10015452988
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Should we mind the gap? : an assessment of the benefits of equity markets and policy implications for Europe's capital markets union
Benjamin Böninghausen (contributor);  … - European Central Bank - 2025
The European Union (EU) economy depends heavily on bank funding. For this reason, strengthening EU equity markets as an alternative funding source has been a policy priority under the Capital Markets Union (CMU) agenda, and more recently a key feature of the Savings and Investment Union (SIU)....
Persistent link: https://www.econbiz.de/10015452776
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The ECB survey of professional forecasters : forecast processes and methodologies : results of the 2023 special survey : survey conducted on the occasion of the 25th anniversary of the ECB SPF
European Central Bank - 2024
To mark the 25th anniversary of the ECB Survey of Professional Forecasters (SPF), a special survey was conducted in 2023 to explore the processes and methodologies underlying participants' forecasts. Participants were sent this fourth special survey on SPF forecast processes and methodologies in...
Persistent link: https://www.econbiz.de/10015277055
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The ECB survey of professional forecasters : forecast processes and methodologies : results of the 2023 special survey : survey conducted on the occasion of the 25th anniversary of the ECB SPF
European Central Bank - 2024
To mark the 25th anniversary of the ECB Survey of Professional Forecasters (SPF), a special survey was conducted in 2023 to explore the processes and methodologies underlying participants' forecasts. Participants were sent this fourth special survey on SPF forecast processes and methodologies in...
Persistent link: https://www.econbiz.de/10015277066
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A guide to the Eurosystem/ECB staff macroeconomic projection exercises
European Central Bank - 2016
Over the past 15 years, the forecasting procedures and techniques used for the Eurosystem/ECB staff macroeconomic …
Persistent link: https://www.econbiz.de/10015293527
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Inflation forecasts : are marketbased and survey-based measures informative?
Grothe, Magdalena (contributor); Meyler, Aidan (contributor) - European Central Bank - 2015
This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and the United States. The results show that both market-based...
Persistent link: https://www.econbiz.de/10015296688