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Fiscal policy events and interest rate swap spreads : evidence from the EU
Afonso, António (contributor); Strauch, Rolf (contributor) - 2004
Persistent link: https://www.econbiz.de/10001967822
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Futures contract rates as monetary policy forecasts
Ferrero, Giuseppe; Nobili, Andrea - 2008
into risk premium and forecast error components, we find that risk premia are counter-cyclical in both areas. On the …
Persistent link: https://www.econbiz.de/10003826011
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The anatomy of the euro area interest rate swap market
Fontana, Silvia Dalla; Holz auf der Heide, Marco; … - 2019
Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing obligation. Our dataset contains 1.7 million bilateral...
Persistent link: https://www.econbiz.de/10011975602
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Density forecast combinations : the real-time dimension
McAdam, Peter; Warne, Anders - 2020
Density forecast combinations are examined in real-time using the log score to compare five methods: fixed weights …
Persistent link: https://www.econbiz.de/10012172228
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Forecasting euro area inflation : does aggregating forecasts by HICP component improve forecast accuracy?
Hubrich, Kirstin (contributor) - 2003
Persistent link: https://www.econbiz.de/10001820871
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Structural filters for monetary analysis : the inflationary movements of money in the euro area
Bruggeman, Annick; Camba-Méndez, Gonzalo; Fischer, Björn - 2005
The quantity theory of money predicts a positive relationship between monetary growth and inflation over long-run horizons. However, in the short-run, transitory shocks to either money or inflation can obscure the inflationary signal stemming from money. The spectral analysis of time series...
Persistent link: https://www.econbiz.de/10003000766
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Early-warning tools to forecast general government deficit in the euro area : the role of intra-annual fiscal indicators
Pérez, Javier J. (contributor) - 2005
In this paper I evaluate the usefulness of a set of fiscal indicators as early-warning-signal tools for annual General Government Net Lending developments for some EMU countries (Belgium, Germany, Spain, France, Italy, The Netherlands, Ireland, Austria, Finland) and an EMU aggregate. The...
Persistent link: https://www.econbiz.de/10003015037
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Weigh(t)ing the basket : aggregate and component-based inflation forecasts for the euro area
Chalmovianský, Jakub; Porqueddu, Mario; Sokol, Andrej - 2020
We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...
Persistent link: https://www.econbiz.de/10012384462
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Does the Phillips curve help to forecast euro area inflation?
Bańbura, Marta; Bobeica, Elena - 2020
breaks in the performance of most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run … in a forecaster's toolkit. We base these conclusions on an extensive forecast evaluation over 1994 - 2018, an … estimated slack or by estimates from international economic institutions; (iii) external variables do not bring forecast gains …
Persistent link: https://www.econbiz.de/10012299084
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Missing disinflation and missing inflation : the puzzles that aren't
Bobeica, Elena; Jarociński, Marek - Task Force on Low Inflation (LIFT) - 2017
In the immediate wake of the Great Recession we didn't see the disinflation that most models predicted and, subsequently, we didn't see the inflation they predicted. We show that these puzzles disappear in a Vector Autoregressive model that properly accounts for domestic and global factors. Such...
Persistent link: https://www.econbiz.de/10011636259