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Do Monetary Indicators Lead Euro Area Inflation?
Hofmann, Boris - 2021
This paper assesses the performance of monetary indicators as well as of a large range of economic and financial indicators in predicting euro area HICP inflation out-of-sample over the period first quarter 1999 till third quarter 2006 considering standard bivariate forecasting models, factor...
Persistent link: https://www.econbiz.de/10013316597
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Detecting and Interpreting Financial Stress in the Euro Area
Grimaldi, Marianna - 2010
There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area....
Persistent link: https://www.econbiz.de/10013142439
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Inflation forecasting in the new EU Member States
Arratibel, Olga; Kamps, Christophe; Leiner-Killinger, Nadine - 2009
To the best of our knowledge, our paper is the first systematic study of the predictive power of monetary aggregates for future inflation for the cross section of New EU Member States. This paper provides stylized facts on monetary versus non-monetary (economic and fiscal) determinants of...
Persistent link: https://www.econbiz.de/10011605061
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Monetary policy and potential output uncertainty: a quantitative assessment
Delle Chiaie, Simona - 2009
I estimate a dynamic stochastic general equilibrium model where the policymaker and the private sector have imperfect knowledge about potential output. The estimation of the structural parameters and of the monetary authorities’objectives is key to assess the quantitative relevance of the...
Persistent link: https://www.econbiz.de/10011605176
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Money Growth and Inflation : A Regime Switching Approach
Amisano, Gianni - 2010
We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...
Persistent link: https://www.econbiz.de/10013142985
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Disagreement among forecasters in G7 countries
Dovern, Jonas; Fritsche, Ulrich; Slacalek, Jiri - 2009
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10011605128
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A Financial Systemic Stress Index for Greece
Louzis, Dimitrios P. - 2013
The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and … evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Lo Duca (2012 …
Persistent link: https://www.econbiz.de/10013080092
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An Application of Index Numbers Theory to Interest Rates
Huerga, Javier; Steklacova, Lucia - 2021
This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in …"), on the basis of the "difference" index numbers recently revisited by Diewert (2005). The paper, first discusses the … optimal calculation of a binary index using axiomatic index number theory; on that basis, chain and direct indices are …
Persistent link: https://www.econbiz.de/10013316478
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A New Optimum Currency Area Index for the Euro Area
Kunovac, Davor; Palenzuela, Diego Rodriguez; Sun, Yiqiao - 2022
We propose a new and time-varying optimum currency area (OCA) index for the euro area in assessing the evolution of the … index, nevertheless, shows that cyclical convergence among euro area members is not a steady process as it tends to be … index embarks on a recovery trajectory catching up with its pre-crisis level. Our OCA index is slow-moving and a good …
Persistent link: https://www.econbiz.de/10014076631
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Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events
Lo Duca, Marco - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10013128992