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Monetary aggregates to improve early output gap estimates in the euro area - an empirical assessment
Boysen-Hogrefe, Jens - Institut für Weltwirtschaft (IfW) - 2014
Output gap estimates at the current edge are subject to severe revisions. This study analyzes whether monetary aggregates can be used to improve the reliability of early output gap estimates as proposed by several theoretical models. A real-time experiment shows that real M1 can improve output...
Persistent link: https://www.econbiz.de/10010886924
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Monetary Conditions in the Euro Area: Useful Indicators of Aggregate Demand Conditions?
Gottschalk, Jan - Institut für Weltwirtschaft (IfW) - 2001
This paper reviews the usefulness of monetary conditions in the euro area as leading indicators for aggregate demand conditions. Monetary conditions are measured with the MCI concept proposed by the Bank of Canada, and with the yield spread. A central result is that causality runs in both ways...
Persistent link: https://www.econbiz.de/10005700527
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Global Inflation
Ciccarelli, Matteo; Mojon, Benoît - Institut für Weltwirtschaft (IfW) - 2007
This paper shows that ination in industrialized countries is largely a global phenom- enon. First, inations of (22) OECD countries have a common factor that alone accounts for nearly 70% of their variance. This large variance share that is associated to Global Ination is not only due to the...
Persistent link: https://www.econbiz.de/10005700550
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Forecasting German Key Macroeconomic Variables Using Large Dataset Methods
Pirschel, Inske; Wolters, Maik - Institut für Weltwirtschaft (IfW) - 2014
provide the most precise forecasts for a set of eleven core macroeconomic variables, including GDP growth and CPI inflation …
Persistent link: https://www.econbiz.de/10010887025
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The changing dynamics of US inflation persistence: a quantile regression approach
Tillmann, Peter; Wolters, Maik - Institut für Weltwirtschaft (IfW) - 2014
We examine both the degree and the structural stability of inflation persistence at different quantiles of the … conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation … rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a …
Persistent link: https://www.econbiz.de/10010905561
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Globalisation effect on inflation in the great moderation era: New evidence from G10 countries
Qin, Duo; He, Xinhua - Institut für Weltwirtschaft (IfW) - 2012
Dynamic econometric models are carefully built to analyse counterfactually the globalisation effect on inflation for … impact as far as inflation persistence is concerned while the impact on inflation variability can be positive as well as … negative. Overall, globalisation is found to have contributed positively to lowering rather than stabilising inflation during …
Persistent link: https://www.econbiz.de/10010956145
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(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?
Babutsidze, Zakaria - Institut für Weltwirtschaft (IfW) - 2010
This paper presents a model of asymmetric (S,s) pricing. We investigate whether the asymmetry on micro level is carried over on macro level and what is the role of agent heterogeneity in the process. We look at two kinds of asymmetries: (i) asymmetric output responses monetary shocks and (ii)...
Persistent link: https://www.econbiz.de/10008597181
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A Conditionally Heteroskedastic Global Inflation Model
Morales-Arias, Leonardo; Moura, Guilherme V. - Institut für Weltwirtschaft (IfW) - 2010
This article proposes a multivariate model of inflation with conditionally heteroskedastic common and country …-2009. It is found that various model specifications considered fit well the first and second order dynamics of inflation in the … G7. The estimated volatility of the common inflation component captures the international effects of the ‘Great …
Persistent link: https://www.econbiz.de/10008752613
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An early warning system to predict the speculative house price bubbles
Dreger, Christian; Kholodilin, Konstantin A. - Institut für Weltwirtschaft (IfW) - 2012
In this paper, the authors construct country-specific chronologies of house price bubbles for 12 OECD countries over the period 1969:Q1-2009:Q4. These chronologies are obtained using a combination of fundamental and filter approaches. The resulting speculative bubble chronology is the one...
Persistent link: https://www.econbiz.de/10010956072
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - Institut für Weltwirtschaft (IfW) - 2015
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...
Persistent link: https://www.econbiz.de/10011269107