Similar Search Results

Financial stress and economic dynamics: the transmission of crises

Hubrich, Kirstin; Tetlow, Robert J. - 2014

A financial stress index for the United States is introduced – an index that was used in real time by the staff of the Federal Reserve Board to monitor the financial crisis of 2008-9 – and the interaction with real activity, inflation and monetary policy is demonstrated using a richly...

Persistent link: https://www.econbiz.de/10011605773

Mind the output gap: the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area

Gross, Marco; Semmler, Willi - 2017

We develop a theoretical model that features a business cycle-dependent relation between out- put, price inflation and inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory (Macklem...

Persistent link: https://www.econbiz.de/10011606049

Does the yield spread predict recessions in the euro area?

Moneta, Fabio - 2003

-month interest rates is explored in an exercise of out-of-sample forecasting. This yield spread appears to contain …

Persistent link: https://www.econbiz.de/10011604340

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...

Persistent link: https://www.econbiz.de/10011604412

Forecasting with a Bayesian DSGE model: an application to the euro area

Smets, Frank; Wouters, Raf - 2004

equilibrium models, estimated using Bayesian techniques, can become an additional useful tool in the forecasting kit of central … banks. First, we show that the forecasting performance of such models compares well with a-theoretical vector …

Persistent link: https://www.econbiz.de/10011604435

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area …

Persistent link: https://www.econbiz.de/10011604448

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Diron, Marie - 2006

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/10011604668

Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases

Giannone, Domenico; Reichlin, Lucrezia; Small, David H. - 2006

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...

Persistent link: https://www.econbiz.de/10011604679

Comparing alternative predictors based on large-panel factor models

D’Agostino, Antonello; Giannone, Domenico - 2006

This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a "large" panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...

Persistent link: https://www.econbiz.de/10011604726

The yield curve as a predictor and emerging economies

Mehl, Arnaud - 2006

-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …

Persistent link: https://www.econbiz.de/10011604737

1
2
3
4
5
6
7
8
Next
Last