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Short-Term Forecasts of Euro Area Real GDP Growth : An Assessment of Real-Time Performance Based on Vintage Data

Diron, Marie - 2021

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10013317625

Signalling Fiscal Stress in the Euro Area -- A Country-Specific Early Warning System

de Cos, Pablo Hernández - 2014

The sovereign debt crisis in the euro area has increased the interest in early warning indicators, with the aim to indicate the build up of fiscal stress early on and to facilitate crisis prevention by a timely counteraction of fiscal and macroeconomic policies. This paper presents possible...

Persistent link: https://www.econbiz.de/10013049852

Understanding and Forecasting Aggregate and Disaggregate Price Dynamics

Bermingham, Colin - 2011

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...

Persistent link: https://www.econbiz.de/10013122152

Bridging the Banking Sector with the Real Economy : A Financial Stability Perspective

Costeiu, Adrian - 2013

This paper builds a macro-prudential tool designed to assess whether the banking sector is adequately prepared to orderly withstand losses resulting from normal or stressed macroeconomic and micro-economic scenarios. The link between the banking sector and the real sector is established via the...

Persistent link: https://www.econbiz.de/10013075928

Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test

Kolasa, Marcin - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate short-term forecasts for interest rates. Conditional on experts' now casts, however, the forecasting power of the DSGE …

Persistent link: https://www.econbiz.de/10013155104

Forecasting and Stress Testing with Quantile Vector Autoregression

Chavleishvili, Sulkhan - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012859199

Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR

Gross, Marco - 2013

solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and …

Persistent link: https://www.econbiz.de/10013078534

Flow on Conjunctural Information and Forecast of Euro Area Economic Activity

Drechsel, Katja; Maurin, Laurent - 2021

Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled,...

Persistent link: https://www.econbiz.de/10013316489

Measuring systemic financial stress and its risks for growth

Chavleishvili, Sulkhan; Kremer, Manfred - 2023

This paper proposes a general statistical framework for systemic financial stress indices which measure the severity of financial crises on a continuous scale. Several index designs from the financial stress and systemic risk literature can be represented as special cases. We introduce an...

Persistent link: https://www.econbiz.de/10014374786

Financial Imbalances and Financial Fragility

Boissay, Frédéric - 2011

This paper develops a general equilibrium model to analyze the link between financial imbalances and financial crises. The model features an interbank market subject to frictions and where two equilibria may (co-)exist. The normal times equilibrium is characterized by a deep market with highly...

Persistent link: https://www.econbiz.de/10013128290

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