Narrow search
Showing 1 - 10 of 738
Cover Image
Forecasting daily electricity prices with monthly macroeconomic variables
Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019
We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse...
Persistent link: https://www.econbiz.de/10011987142
Cover Image
The influence of OPEC+ on oil prices : a quantitative assessment
Quint, Dominic; Venditti, Fabrizio - 2020
Between January 2017 and March 2020 a coalition of oil producers led by OPEC and Russia (known as OPEC+) cut oil production in an attempt to raise the price of crude oil. In March 2020 the corona virus shock led to a collapse of this coalition, as members did not agree on keeping the oil market...
Persistent link: https://www.econbiz.de/10012271582
Cover Image
Global financial markets and oil price shocks in real time
Venditti, Fabrizio; Veronese, Giovanni - 2020
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...
Persistent link: https://www.econbiz.de/10012299083
Cover Image
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
Cover Image
The role of comovement and time-varying dynamics in forecasting commodity prices
Allayioti, Anastasia; Venditti, Fabrizio - 2024
forecast accuracy are small, with predictability varying substantially across forecast horizons and commodity indices, but they …
Persistent link: https://www.econbiz.de/10014486704
Cover Image
Gas price shocks and euro area inflation
Adolfsen, Jakob Feveile; Ferrari, Massimo Minesso; … - 2024
This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The...
Persistent link: https://www.econbiz.de/10014490358
Cover Image
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
The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap … ; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …
Persistent link: https://www.econbiz.de/10009380402
Cover Image
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
Cover Image
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
Cover Image
Forecasting euro area inflation using targeted predictors : is money coming back?
Falagiarda, Matteo; Sousa, João - 2017
This paper sheds new light on the information content of monetary and credit aggregates for future price developments in the euro area. Overall, we find strong variation in the information content of these variables over time. We show that monetary and credit aggregates are very often selected...
Persistent link: https://www.econbiz.de/10011637074