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Forecasting euro area inflation using dynamic factor measures of underlying inflation
Camba-Méndez, Gonzalo; Kapetanios, George - 2004
Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying inflation to formulate monetary policy and assist in forecasting observed inflation. Recent work has concentrated on modelling large datasets using...
Persistent link: https://www.econbiz.de/10009639462
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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...
Persistent link: https://www.econbiz.de/10003803300
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The post-crisis TFP growth slowdown in CEE countries : exploring the role of Global Value Chains
Chiacchio, Francesco; Gradeva, Katerina; … - 2018
Productivity (TFP) growth in CEE countries. We show that due to their deep integration in GVCs, CEE countries have been exposed to …
Persistent link: https://www.econbiz.de/10011816163
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011856403
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Productivity shocks and real exchange rate : a reappraisal
Peltonen, Tuomo; Sager, Michael - 2009
We reappraise the relationship between productivity and equilibrium real exchange rates using a panel estimation … role of non-traded, as well as traded, sector productivity shocks in exchange rate determination. We find evidence of … significant correlation between real exchange rates and productivity differentials in both sectors. But our finding of a …
Persistent link: https://www.econbiz.de/10003832627
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Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?
Peltonen, Tuomo; Popescu, Adina; Sager, Michael - 2009
persistence typically proceed along two distinct paths, resorting either to the presence of real shocks such as productivity … rates. -- EPSTAR ; exchange rate ; PPP ; Balassa-Samuelson ; productivity …
Persistent link: https://www.econbiz.de/10003867086
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International risk-sharing and the transmission of productivity shocks
Corsetti, Giancarlo (contributor); Dedola, Luca (contributor) - 2004
Persistent link: https://www.econbiz.de/10002124841
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Productivity and the ("synthetic") euro-Dollar exchange rate
Schnatz, Bernd (contributor); Vijselaar, Focco (contributor) - 2003
Persistent link: https://www.econbiz.de/10001762888
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Subsidising car purchases in the euro area : any spill-over on production?
Paredes, Joan - 2017
Due to input-output linkages, an industry level shock can widely transmit to the rest of the economy. We identify government policies on the automobile industry, which change final prices and estimate their effect on sales and production. An example could be the scrappage schemes that many...
Persistent link: https://www.econbiz.de/10011710106
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Public and private inputs in aggregate production and growth
Afonso, António; Aubyn, Miguel St. - 2010
private physical capital per worker. We use a semiparametric analysis, computing Malmquist productivity indexes, and we also …
Persistent link: https://www.econbiz.de/10009640405