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Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

Chudik, Alexander; Georgiadis, Georgios - 2021

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10013315353

Hysteresis in Unemployment : Evidence from OECD Estimates of the Natural Rate

Ball, Laurence M.; Onken, Joern - 2021

for 29 countries from the OECD. We find strong evidence of hysteresis: an innovation in u causes u* to change in the same …

Persistent link: https://www.econbiz.de/10013312060

International Evidence on Sticky Consumption Growth

Carroll, Chris; Slacalek, Jirka; Sommer, Martin - 2021

degree of autocorrelation, with a stickiness parameter of about 0.7 on average across countries. The sticky …

Persistent link: https://www.econbiz.de/10013316561

Identifying the Role of Labor Markets for Monetary Policy in an Estimated DSGE Model

Christoffel, Kai; Küster, Keith; Linzert, Tobias - 2021

wages and labor market shocks feed into the inflation process and derive monetary policy implications. Towards that aim, we …

Persistent link: https://www.econbiz.de/10013317584

Do Professional Forecasters Behave as If They Believed in the New Keynesian Phillips Curve for the Euro Area?

López Pérez, Victor - 2015

forecasts that are consistent with a (mostly forward-looking) New Keynesian Phillips Curve for the euro area. The estimation … results suggest that euro-area inflation forecasts have reacted less to unemployment forecasts after the start of the … financial crisis but another cost measure (energy inflation) remains significant. This finding is consistent with a flatter …

Persistent link: https://www.econbiz.de/10013026617

On Approximating DSGE Models by Series Expansions

Lombardo, Giovanni - 2010

We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...

Persistent link: https://www.econbiz.de/10013136525

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

Camba-Méndez, Gonzalo; Kapetanios, George - 2021

Testing and estimating the rank of a matrix of estimated parameters is key in a large variety of econometric modelling scenarios. This paper describes general methods to test for and estimate the rank of a matrix, and provides details on a variety of modelling scenarios in the econometrics...

Persistent link: https://www.econbiz.de/10013316643

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10013059119

Is Forecasting with Large Models Informative? Assessing the Role of Judgement in Macroeconomic Forecasts

Mestre, Ricardo; McAdam, Peter - 2021

We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...

Persistent link: https://www.econbiz.de/10013316469

Information Combination and Forecast (St)Ability Evidence from Vintages of Time-Series Data

Ciccarelli, Matteo; Altavilla, Carlo - 2021

models to predict inflation and GDP growth, in the three dimensions of accuracy, uncertainty and stability by using the real … models of inflation forecasts and output growth, reflecting the relative ability each model has over different sub …

Persistent link: https://www.econbiz.de/10013316663