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The long-term distribution of expected inflation in the euro area : what has changed since the great recession?
Dovern, Jonas; Kenny, Geoff - Task Force on Low Inflation (LIFT) - 2017
This paper analyses the distribution of long-term inflation expectations in the euro area using individual density forecasts from the ECB Survey of Professional Forecasters. We exploit the panel dimension in this dataset to examine whether this distribution became less stable following the Great...
Persistent link: https://www.econbiz.de/10011636332
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Disciplining expectations and the forward guidance puzzle
Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020
improves the out-of-sample forecast accuracy of the model. Furthermore, we evaluate the case for introducing a discount factor …
Persistent link: https://www.econbiz.de/10012241110
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Inflation forecasts : are marketbased and survey-based measures informative?
Altavilla, Carlo; Carboni, Giacomo; Motto, Roberto - 2015
Persistent link: https://www.econbiz.de/10011448474
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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
; Markov-switching ; Auxiliary information ; Model averaging ; Inflation forecast ; Real-time analysis …
Persistent link: https://www.econbiz.de/10009380402
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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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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
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Exchange rate pass-through in the global economy : the role of emerging market economies
Bussière, Matthieu; Peltonen, Tuomo - 2008
This paper estimates export and import price equations for 41 countries including 28 emerging market economies. Further, it relates the estimated elasticities to structural factors and tests for statistical breaks in the relation between trade prices and exchange rates. Results indicate that (i)...
Persistent link: https://www.econbiz.de/10003794052
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission mechanism during turbulences in mature markets, and examines the implications for conditional correlations between mature and emerging market returns. Tri-variate GARCH-BEKK...
Persistent link: https://www.econbiz.de/10003963822
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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021
We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...
Persistent link: https://www.econbiz.de/10012705396
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011771984