Showing 1 - 10 of 1,802
In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...
Persistent link: https://www.econbiz.de/10011067205
In this paper, we propose a framework to evaluate the subjective density forecasts of macroeconomists using micro data from the euro area Survey of Professional Forecasters (SPF). A key aspect of our analysis is the evaluation of the entire predictive densities, including an evaluation of the...
Persistent link: https://www.econbiz.de/10010686875
We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on...
Persistent link: https://www.econbiz.de/10010686793
This paper uses survey data to assess consumers' inflation expectations in the euro area. The probability approach is used to derive quantitative estimates of inflation expectations from the European Commission's Consumer Survey. The paper subsequently analyses the empirical properties of the...
Persistent link: https://www.econbiz.de/10005530749
In this paper, we explore the potential gains from alternative combinations of the surveyed forecasts in the ECB Survey of Professional Forecasters. Our analysis encompasses a variety of methods including statistical combinations based on principal components analysis and trimmed means,...
Persistent link: https://www.econbiz.de/10008752569
The economics profession in general, and economic forecasters in particular, have faced some understandable criticism for their failure to predict the timing and severity of the recent economic crisis. In this paper, we offer some assessment of the performance of the Economic Analysis conducted...
Persistent link: https://www.econbiz.de/10010688344
The paper shows that central bank communication is a key determinant of the market’s ability to anticipate monetary policy decisions and the future path of interest rates. Comparing communication policies by the Federal Reserve, the Bank of England and the ECB since 1999, we find that...
Persistent link: https://www.econbiz.de/10005530671
We test whether firms with a single bank are better shielded from loss of credit and investment cuts in periods of adverse cash flow shocks than firms with multiple bank relationships. Our estimates of the cash flow sensitivity of investment show that both types of firms are equally subject to...
Persistent link: https://www.econbiz.de/10005530672
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...
Persistent link: https://www.econbiz.de/10005530673
This paper reviews the literature on the finance-growth nexus within a neoclassical growth framework, placing an emphasis on the policy implications in the current European environment, that has placed financial reforms high on the policy Agenda. While more research is needed to establish...
Persistent link: https://www.econbiz.de/10005530674