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Euro area real-time density forecasting with financial or labor market frictions

McAdam, Peter; Warne, Anders - 2018

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...

Persistent link: https://www.econbiz.de/10011813503

ALICE : a new inflation monitoring tool

Bondt, Gabe J. de; Hahn, Elke; Zekaite, Zivile - 2018

composite leading indicators are carefully selected from around 160 candidate leading series using a general …

Persistent link: https://www.econbiz.de/10011901421

Density forecast combinations : the real-time dimension

McAdam, Peter; Warne, Anders - 2020

Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights, static and dynamic prediction pools, as well as Bayesian and dynamic model averaging. Since real-time data involves one vintage per time period and are subject to revisions, the...

Persistent link: https://www.econbiz.de/10012172228

DSGE model forecasting : rational expectations vs. adaptive learning

Warne, Anders - 2023

This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...

Persistent link: https://www.econbiz.de/10013492913

Early estimates of euro area real GDP growth : a bottom up approach from the production side

Hahn, Elke; Skudelny, Frauke - 2008

This paper derives forecasts for euro area real GDP growth based on a bottom up approach from the production side. That is, GDP is forecast via the forecasts of value added across the different branches of activity, which is quite new in the literature. Linear regression models in the form of...

Persistent link: https://www.econbiz.de/10003825975

What drives euro area break-even inflation rates?

Ciccarelli, Matteo; Garcia, Juan Angel - 2009

The yield spread between nominal and inflation-linked bonds (or break-even inflation rates, BEIR) is a fundamental indicator of inflation expectations (and associated premia). This paper investigates which macroeconomic and financial variables explain BEIRs. We evaluate a large number of...

Persistent link: https://www.econbiz.de/10003826599

The time-varying evolution of inflation risks

Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021

This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to...

Persistent link: https://www.econbiz.de/10012643282

The New Area-Wide Model II : an extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector

Coenen, Günter; Karadi, Peter; Schmidt, Sebastian; … - 2018

This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...

Persistent link: https://www.econbiz.de/10011928964

Mind the gap : a multi-country BVAR benchmark for the Eurosystem projections

Angelini, Elena; Lalik, Magdalena; Lenza, Michele; … - 2019

The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of...

Persistent link: https://www.econbiz.de/10011975386

Do house price developments spill over across euro area countries? : evidence from a Global VAR

Hiebert, Paul; Vansteenkiste, Isabel - 2009

prices across countries may be particularly relevant given a general trend with monetary union toward increasing linkages in … trade, financial markets, and general economic conditions. The application involves a Global VAR for three housing demand … for economic weight in the euro area in governing their general magnitude, while geographic proximity appears to also play …

Persistent link: https://www.econbiz.de/10003832315