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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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Granger causality and regime inference in Bayesian Markov-switching VARs
Droumaguet, Matthieu; Warne, Anders; Woźniak, Tomasz - 2015
Persistent link: https://www.econbiz.de/10011288718
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Do inflation expectations improve model-based inflation forecasts?
Bańbura, Marta; Leiva-Leon, Danilo; Menz, Jan-Oliver - 2021
find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF … and Consensus Economics compared to their counterparts that do not. The gains in forecast accuracy from incorporating … households does not lead to systematic improvements in forecast performance. Individual models we consider are typically better …
Persistent link: https://www.econbiz.de/10012643485
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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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Forecasting daily electricity prices with monthly macroeconomic variables
Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019
forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed …
Persistent link: https://www.econbiz.de/10011987142
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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
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Using forecast-augmented VAR evidence to dampen the forward guidance puzzle
Christoffel, Kai; De Groot, Oliver; Mazelis, Falk; … - 2020
We estimate the effects of interest rate forward guidance (FG) using a parsimonious VAR, augmented with survey forecast …
Persistent link: https://www.econbiz.de/10012318803
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Identifying fiscal shocks and policy regimes in OECD countries
Arcangelis, Giuseppe de; Lamartina, Serena - 2003
The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a ….1 percent quarterly on average at most to a 1 percentage change in the expenditure or revenue ratio). In Italy, the US and …
Persistent link: https://www.econbiz.de/10009635887
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EMU and the adjustment to asymmetric shocks : the case of Italy
Amisano, Gianni; Giammarioli, Nicola; Stracca, Livio - 2009
at a time-varying VAR model of Italy's relative performance compared with the rest of the euro area, spanning from 1976 … ; Italy …
Persistent link: https://www.econbiz.de/10003969277
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Fiscal policy, housing and stock prices
Afonso, António; Sousa, Ricardo M. - 2009
Sims and Zha (1999, 2006), the empirical evidence for the U.S., the U.K., Germany, and Italy shows that it is important to … Italy. -- Bayesian Structural VAR ; fiscal policy ; housing prices ; stock prices …
Persistent link: https://www.econbiz.de/10003826474