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Nowcasting employment in the euro area
Bańbura, Marta; Belousova, Irina; Bodnár, Katalin; … - 2023
performs favourably compared to the Eurosystem/ECB staff macroeconomic projections, (iv) forecasting performance deteriorates …
Persistent link: https://www.econbiz.de/10014315194
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DSGE model forecasting : rational expectations vs. adaptive learning
Warne, Anders - 2023
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...
Persistent link: https://www.econbiz.de/10013492913
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The COVID-19 shock and challenges for time series models
Bobeica, Elena; Hartwig, Benny - 2021
We document the impact of COVID-19 on frequently employed time series models, with a focus on euro area in ation. We show that for both single equation models (Phillips curves) and Vector Autoregressions (VARs) estimated parameters change notably with the pandemic. In a VAR, allowing the errors...
Persistent link: https://www.econbiz.de/10012519429
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Do inflation expectations improve model-based inflation forecasts?
Bańbura, Marta; Leiva-Leon, Danilo; Menz, Jan-Oliver - 2021
Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we 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...
Persistent link: https://www.econbiz.de/10012643485
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Forecasting the Covid-19 recession and recovery : lessons from the financial crisis
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2020
We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across...
Persistent link: https://www.econbiz.de/10012285550
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379
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Does the Phillips curve help to forecast euro area inflation?
Bańbura, Marta; Bobeica, Elena - 2020
; (iv) newer generation Phillips curve models with several timevarying features are a promising avenue for forecasting …
Persistent link: https://www.econbiz.de/10012299084
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Forecast performance in the ECB SPF : ability or chance?
Meyler, Aidan - 2020
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex...
Persistent link: https://www.econbiz.de/10012156473
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Forecasting euro area inflation using targeted predictors : is money coming back?
Falagiarda, Matteo; Sousa, João - 2017
relative to other predictors generally improving in the post-2012 period. An out-of-sample forecasting exercise indicates that …, when monetary and credit aggregates are loaded directly in the forecasting equation, the additional gains over the … and credit variables in forecasting inflation, even if their information content is diluted in a much broader pool of …
Persistent link: https://www.econbiz.de/10011637074
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ALICE : a new inflation monitoring tool
Bondt, Gabe J. de; Hahn, Elke; Zekaite, Zivile - 2018
the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …
Persistent link: https://www.econbiz.de/10011901421