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Economic Analysis Using Higher Frequency Time Series : Challenges for Seasonal Adjustment

Ollech, Daniel - 2022

The COVID-19 pandemic has increased the need for timely and granular information to assess the state of the economy in real time. Weekly and daily indices have been constructed using higher frequency data to address this need. Yet the seasonal and calendar adjustment of the underlying time...

Persistent link: https://www.econbiz.de/10013306820

Money and prices in models of bounded rationality in high inflation economies

Marcet, Albert; Nicolini, Juan Pablo - 2005

This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does better or worse than a model of rational expectations, and we focus our study on countries of high inflation. We take the money process as an exogenous variable, estimated from...

Persistent link: https://www.econbiz.de/10011604515

Exploring the international linkages of the euro area: a global VAR analysis

Dées, Stéphane; di Mauro, Filippo; Pesaran, Hashem; … - 2005

This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...

Persistent link: https://www.econbiz.de/10011604614

Identification of new Keynesian Phillips Curves from a global perspective.

Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2008

New Keynesian Phillips Curves (NKPC) have been exten-sively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macro-economic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10011604938

Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2010

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10011605285

Consumer Confidence as a Predictor of Consumption Spending : Evidence for the United States and the Euro Area

Dees, Stephane - 2011

For most academics and policy makers, the depth of the 2007-09 financial crisis, its longevity and its impacts on the real economy resulted from an erosion of confidence. This paper proposes to assess empirically the link between consumer sentiment and consumption expenditures for the United...

Persistent link: https://www.econbiz.de/10013124648

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

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021

Persistent link: https://www.econbiz.de/10013316169

Estimating the Euro Area Output Gap Using Multivariate Information and Addressing the COVID-19 Pandemic

Morley, James; Palenzuela, Diego Rodriguez; Sun, Yiqiao; … - 2022

We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...

Persistent link: https://www.econbiz.de/10014078099

Determinants of Credit-Less Recoveries

Bijsterbosch, Martin - 2011

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...

Persistent link: https://www.econbiz.de/10013123785