We estimate Taylor rules for the euro area using Consensus expectations for inflation and output growth and we compare these estimates with more conventional specifications in which actual outcomes are used. According to the model with Consensus data, the ECB takes expected inflation and...

This paper examines the accuracy of short run forecasts of Dutch GDP growth by several linear statistical models and private sector analysts. We focus on the financial crisis of 2008-2009 and the dot-com recession of 2001-2002. The dynamic factor model turns out to be the best model. Its...

We conduct a systematic comparison of the short-term forecasting abilities of eleven statistical models and professional analysts in a pseudo-real time setting, using a large set of monthly indicators. Our analysis covers the euro area and its five largest countries over the years 1996-2011. We...

We provide new insights on the formation of inflation expectations - in particular at a time of great financial and economic turmoil - by evaluating results from a survey conducted from July 2009 through July 2010. Participants in this survey answered a weekly questionnaire about their short-,...

This paper employs concepts from information theory to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the `optimal' size of the data set, in particular whether an extra variable adds...

In this study we construct a business cycle indicator for the Netherlands. The Christiano-Fitzgerald band-pass .lter is employed to isolate the cycle using the de.nition of business cycle frequencies as waves with lengths longer than 3 years and shorter than 11 years. The main advantage of...

In this paper the business cycles of nine OECD-countries are identified by applying the Christiano-Fitzgerald bandpass filter. Turning points, recession and expansion phases and other descriptive statistics are derived from these business cylce indicators. Moreover, the international linkage...

The harmonized index of consumer prices allows for inflation comparisons between European countries. This report shows how backdata for this index and its subindices were constructed for the Netherlands.

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining a dynamic Gordon model specification with the inflation-augmented capital asset pricing model (CAPM). The model is estimated for the Euro Area and U.S. and tested against traditional models. For...

We empirically investigate how well different learning rules manage to explain the formation of household inflation expectations in six key member countries of the euro area. Our findings reveal a pronounced heterogeneity in the learning rules employed on the country level. While the expectation...