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The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...
Persistent link: https://www.econbiz.de/10013120226
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or … horizons, the aggregate (consensus) SPF forecast performs best …
Persistent link: https://www.econbiz.de/10012842351
This paper analyses the real-time forecasting performance of the New Keynesian DSGE model of Galí, Smets, and Wouters (2012) estimated on euro area data. It investigates to what extent forecasts of inflation, GDP growth and unemployment by professional forecasters improve the forecasting...
Persistent link: https://www.econbiz.de/10013078530
We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...
Persistent link: https://www.econbiz.de/10013314814
unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast …
Persistent link: https://www.econbiz.de/10013316124
output gap estimates and forecast horizons, the results point clearly to a lack of any usefulness of real-time output gap … forecast real GDP growth, particularly in the short term, and some appear also useful in the medium run. No single output gap …
Persistent link: https://www.econbiz.de/10013316260
countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …
Persistent link: https://www.econbiz.de/10013318108
countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …
Persistent link: https://www.econbiz.de/10011604624
Economic and Monetary Union (EMU) has transformed Europe and has created an integrated pan-European economy. Much research has focused on understanding this integration process and what benefits and costs it entails. This paper identifies a political economy channel of EMU as the monetary union...
Persistent link: https://www.econbiz.de/10013316460
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10012918409