Similar Search Results

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014

of survey participants to incorporate information about the current state of the economy as well as forward …-looking information such as that contained in monetary policy announcements. We show how the informational advantage of survey …. The method implicitly incorporates into yield curve forecasts any information that survey participants have access to …

Persistent link: https://www.econbiz.de/10011605677

Density Forecasts of Inflation : A Quantile Regression Forest Approach

Lenza, Michele; Moutachaker, Inès; Paredes, Joan - 2023

Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...

Persistent link: https://www.econbiz.de/10014353294

The Impact of Global Warming on Inflation : Averages, Seasonality and Extremes

Kotz, Maximilian; Kuik, Friderike; Lis, Eliza; Nickel, … - 2023

Understanding of the macroeconomic effects of climate change is developing rapidly, but the implications for past and future inflation remain less well understood. Here we exploit a global dataset of monthly consumer price indices to identify the causal impacts of changes in climate on...

Persistent link: https://www.econbiz.de/10014354529

The Role of Labor Markets for Euro Area Monetary Policy

Christoffel, Kai Philipp - 2009

which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible … into monitoring euro area wage dynamics and which appears to treat some of the other labor market information as less …

Persistent link: https://www.econbiz.de/10012764518

Inducing Sparsity and Shrinkage in Time-Varying Parameter Models

Huber, Florian - 2019

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

Persistent link: https://www.econbiz.de/10012860054

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Inflation Volatility in Small and Large Advanced Open Economies

Balatti, Mirco - 2020

Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often overlooked in the literature. This paper compares inflation volatility among advanced open economies with inflation targeting monetary policy frameworks. The results of the...

Persistent link: https://www.econbiz.de/10012827759

Determinants of the Credit Cycle : A Flow Analysis of the Extensive Margin

Cuciniello, Vincenzo - 2020

We use monthly data on individual loans from the Italian Credit Register over the period from 1997 to 2019 and show that bank credit expansions in the non-financial private sector are mostly explained by variations in the extensive margin calculated either in credit flows or headcount of new...

Persistent link: https://www.econbiz.de/10012827866

Monetary Policy, Markup Dispersion, and Aggregate TFP

Reinelt, Timo - 2020

We document three new empirical facts: (i) monetary policy shocks increase the markup dispersion across firms, (ii) they increase the relative markup of firms with stickier prices, and (iii) firms with stickier prices have higher markups. This is consistent with a New Keynesian model in which...

Persistent link: https://www.econbiz.de/10012830084

How Large are Housing and Financial Wealth Effects? A New Approach

Carroll, Christopher D. - 2015

This paper presents a simple new method for measuring 'wealth effects' on aggregate consumption. The method exploits the stickiness of consumption growth (sometimes interpreted as reflecting consumption 'habits') to distinguish between immediate and eventual wealth effects. In U.S. data, we...

Persistent link: https://www.econbiz.de/10013038374