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Forecasting economic aggregates by disaggregates
Hendry, David F.; Hubrich, Kirstin - 2006
We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...
Persistent link: https://www.econbiz.de/10011604635
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Inflation perceptions and expectations in the euro area: the role of news
Badarinza, Cristian; Buchmann, Marco - 2009
The aim of this study is to assess empirically to what extent the degree of heterogeneity of consumers’ inflation perceptions and expectations is driven by the flow of information related to current and future price developments in the euro area. We conduct the analysis both on an aggregate...
Persistent link: https://www.econbiz.de/10011605134
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Understanding and forecasting aggregate and disaggregate price dynamics
Bermingham, Colin; D’Agostino, Antonello - 2011
The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …
Persistent link: https://www.econbiz.de/10011605411
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Understanding and Forecasting Aggregate and Disaggregate Price Dynamics
Bermingham, Colin - 2011
The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …
Persistent link: https://www.econbiz.de/10013122152
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Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
Hendry, David F. - 2010
To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, mis-specification, estimation uncertainty and...
Persistent link: https://www.econbiz.de/10013147953
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Core inflation: a review of some conceptual issues
Wynne, Mark A. - 1999
This paper reviews various approaches to the measurement of core inflation that have been proposed in recent years. The objective is to determine whether the ECB should pay special attention to one or other of these measures in assessing inflation developments in the euro area. I put particular...
Persistent link: https://www.econbiz.de/10011604051
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Inflation zone targeting
Orphanides, Athanasios; Wieland, Volker - 1999
We study optimal monetary policy design in a simple model that deviates from the linear-quadratic paradigm and provides a rationale for the practice of inflation zone targeting. We show that the presence of either zone-quadratic preferences or a zone-linear relationship between inflation and...
Persistent link: https://www.econbiz.de/10011604054
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Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models
Coenen, Günter - 2000
This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...
Persistent link: https://www.econbiz.de/10011604055
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Alternative measures of the NAIRU in the euro area: estimates and assessment
Fabiani, Silvia; Mestre, Ricardo - 2000
The paper focuses on the measurement of the NAIRU (Non-Accelerating-Inflation-Rate-of-Unemployment) for the euro area and assesses the usefulness of different methodologies developed in the literature to estimate this unobservable variable at the aggregate level. After reviewing the theoretical...
Persistent link: https://www.econbiz.de/10011604063
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A small estimated euro area model with rational expectations and nominal rigidities
Coenen, Günter; Wieland, Volker - 2000
In this paper we estimate a small model of the euro area to be used as a laboratory for evaluating the performance of alternative monetary policy strategies. We focus on the relationship between output and inflation and investigate the fit of the nominal wage contracting model due to Taylor...
Persistent link: https://www.econbiz.de/10011604076