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A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10008901645

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012156426

Balance sheet interlinkages and macro-financial risk analysis in the Euro area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …

Persistent link: https://www.econbiz.de/10003969268

Short-term estimates of euro area real GDP by means of monthly data

Rünstler, Gerhard; Sédillot, Franck - 2003

The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of...

Persistent link: https://www.econbiz.de/10009635895

Early estimates of euro area real GDP growth : a bottom up approach from the production side

Hahn, Elke; Skudelny, Frauke - 2008

This paper derives forecasts for euro area real GDP growth based on a bottom up approach from the production side. That is, GDP is forecast via the forecasts of value added across the different branches of activity, which is quite new in the literature. Linear regression models in the form of...

Persistent link: https://www.econbiz.de/10003825975

Combining the forecasts in the ECB survey of professional forecasters : can anything beat the simple average?

Genre, Véronique; Kenny, Geoff; Meyler, Aidan - 2010

In this paper, we explore the potential gains from alternative combinations of the surveyed forecasts in the ECB Survey of Professional Forecasters. Our analysis encompasses a variety of methods including statistical combinations based on principal components analysis and trimmed means,...

Persistent link: https://www.econbiz.de/10008771791

Forecasting inflation with gradual regime shifts and exogenous information

González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - 2011

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...

Persistent link: https://www.econbiz.de/10009238009

The time-varying evolution of inflation risks

Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021

This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting in ation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting in ation with the ability of quantile regression to...

Persistent link: https://www.econbiz.de/10012643282

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Ojea Ferreiro, Javier - 2019

Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...

Persistent link: https://www.econbiz.de/10012034482

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