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forecasts that are consistent with a (mostly forward-looking) New Keynesian Phillips Curve for the euro area. The estimation …
Persistent link: https://www.econbiz.de/10013026617
This paper formalizes the process of updating the nowcast and forecast on out-put 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/10013318105
Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and “behavioral equilibrium exchange rate” models, and assessed...
Persistent link: https://www.econbiz.de/10012963129
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10013143622
In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...
Persistent link: https://www.econbiz.de/10012844460
The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic...
Persistent link: https://www.econbiz.de/10013146503
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...
Persistent link: https://www.econbiz.de/10013316398
We focus on a quantitative assessment of rigid labor markets in an environment of stable monetary policy. We ask how wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we structurally model matching frictions and rigid wages...
Persistent link: https://www.econbiz.de/10013317584
We investigate the predictive content of credit and government interest spreads with respect to the Italian GDP growth. Our analysis with Dynamic Model Averaging identifies when interest spreads were more useful predictors of economic activity: these periods are not limited to the Great...
Persistent link: https://www.econbiz.de/10013104609
This paper shows that newspaper articles contain timely economic signals that can materially improve nowcasts of real GDP growth for the euro area. Our text data is drawn from fifteen popular European newspapers, that collectively represent the four largest Euro area economies, and are machine...
Persistent link: https://www.econbiz.de/10013313002