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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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The New Area-Wide Model II : an extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector
Coenen, Günter; Karadi, Peter; Schmidt, Sebastian; … - 2018
This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...
Persistent link: https://www.econbiz.de/10011928964
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Trend-cycle decomposition of output and euro area inflation forecasts : a real-time approach based on model combination
Guérin, Pierre; Maurin, Laurent; Mohr, Matthias - 2011
predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail … ; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …
Persistent link: https://www.econbiz.de/10009380402
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Global models for a global pandemic: the impact of COVID-19 on small euro area economies
García, Pablo; Jacquinot, Pascal; Lenarcic, Crt; … - 2021
lifetimes, the responses of output and inflation are amplifted compared to the case with infinitely lived households. Finally, a …
Persistent link: https://www.econbiz.de/10012643287
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Forecasting with DSGE models
Christoffel, Kai; Coenen, Günter; Warne, Anders - 2010
In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...
Persistent link: https://www.econbiz.de/10003972991
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The EAGLE: a model for policy analysis of macroeconomic interdependence in the euro area
Gomes, Sandra; Jacquinot, Pascal; Pisani, Massimiliano - 2010
Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions...
Persistent link: https://www.econbiz.de/10003973335
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Globalisation and the euro area : simulation based analysis using the New Area Wide Model
Jacquinot, Pascal (contributor); Straub, Roland (contributor) - 2008
In this paper, we utilise the multi-country version of the NAWM to analyse the impact of globalisation on euro area macroeconomic aggregates. We provide alternative modelbased definitions of globalisation associated with an increase in potential output in emerging Asia and its impact on total...
Persistent link: https://www.econbiz.de/10003782654
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Financial drivers of the euro area business cycle : a DSGE-based approach
Hirschbühl, Dominik; Krustev, Georgi; Stoevsky, Grigor - 2020
We estimate a modified version of the "Financial Business Cycles" model originally developed by Iacoviello (2015) in order to investigate the role played by financial factors in driving the business cycle in the euro area. In the model, financial shocks such as borrower defaults, collateral...
Persistent link: https://www.econbiz.de/10012299080
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Labour tax reforms, cross-country coordination and the monetary policy stance in the euro area : a structural model-based approach
Jacquinot, Pascal; Lozej, Matija; Pisani, Massimiliano - 2018
We evaluate the effects of permanently reducing labour tax rates in the euro area (EA) by simulating a large-scale open economy dynamic general equilibrium model. The model features the EA as a monetary union, split in two regions (Home and the rest of the EA - REA), the US, and the rest of the...
Persistent link: https://www.econbiz.de/10011792134
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A single monetary policy for heterogeneous labour markets : the case of the euro area
Gomes, Sandra; Jacquinot, Pascal; Lozej, Matija - 2023
inflation targeting. For each rule we distinguish between cases with zero weight on the unemployment gap and a negative response … inflation. Responding to unemployment reduces cross-country differences within the monetary union and the differences in …
Persistent link: https://www.econbiz.de/10013492935