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Flow on conjunctural information and forecast of euro area economic activity
Heinisch, Katja (contributor); Maurin, Laurent (contributor) - 2008
Euro area GDP and components are nowcast and forecast one quarter ahead. Based on a dataset of 163 series comprising the relevant monthly indicators, simple bridge equations with one explanatory variable are estimated for each. The individual forecasts generated by each equation are then pooled,...
Persistent link: https://www.econbiz.de/10003789413
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The role of country-specific trade and survey data in forecasting euro area manufacturing production : perspective from large panel factor models
Darracq Pariès, Matthieu (contributor);  … - 2008
Several factor-based models are estimated to investigate the role of country-specific trade and survey data in forecasting euro areamanufacturing production. Following Boivin and Ng (2006), the emphasis is put on the role of dataset selection on the empirical performance of factor models. First,...
Persistent link: https://www.econbiz.de/10003778786
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Forecasting economic aggregates by disaggregates
Hendry, David F. (contributor); Hubrich, Kirstin (contributor) - 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/10003280663
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Should quarterly government finance statistics be used for fiscal surveillane in Europe?
Pedregal, Diego J. (contributor);  … - 2008
We use a newly available dataset of euro area quarterly national accounts fiscal data and construct multivariate, state-space mixed-frequencies models for the government deficit, revenue and expenditure in order to assess its information content and its potential use for fiscal forecasting and...
Persistent link: https://www.econbiz.de/10003790942
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Short-term forecasts of euro area GDP growth
Angelini, Elena; Camba-Méndez, Gonzalo; Giannone, Domenico - 2008
This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin, and Small (2005). The method consists in...
Persistent link: https://www.econbiz.de/10003794044
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Is forecasting with large models informative? : assessing the role of judgement in macroeconomic forecasts
Mestre, Ricardo; McAdam, Peter - 2008
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/10003794046
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What drives EU banks' stock returns? : bank-level evidence using the dynamic dividend-discount model
Castrén, Olli (contributor);  … - 2006
a decomposition of EU banks.stock returns to cash-flow and expected return news components. The main findings are that … while the bulk of the variability of EU banks.stock returns is due to cash flow shocks, the expected return shocks are … explain a higher share of the cash-flow component of the total excess returns for smaller than for larger EU banks. This …
Persistent link: https://www.econbiz.de/10003375090
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Unconventional monetary policy and the great recession : estimating the impact of a compression in the yield spread at the zero lower bound
Baumeister, Christiane; Benati, Luca - 2010
We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a 'pure' spread shock which, leaving the short-term rate unchanged by construction,...
Persistent link: https://www.econbiz.de/10008688522
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Explaining the money demand of non-financial corporations in the Euro area : a macro and a micro view
Martínez-Carrascal, Carmen; Landesberger, Julian von - 2010
This paper analyses euro area non-financial corporations (NFC) money demand, both from a macro and a microeconomic point of view. At a macro level, money holdings are modelled as a function of real gross added value, the price level, the long-term interest rate on bank lending to non-financial...
Persistent link: https://www.econbiz.de/10008688524
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Explaining government revenue windfalls and shortfalls : an analysis for selected EU countries
Morris, Richard; Braz, Cláudia Rodrigues; Castro, … - 2009
In recent years, government revenues in many EU countries experienced significant and erratic changes, which, a priori … estimates of the impact of legislation changes. This is done for a selection of EU countries, including the "big five" euro area …
Persistent link: https://www.econbiz.de/10003969235