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Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...

Persistent link: https://www.econbiz.de/10012117683

The cost-efficiency and productivity growth of euro area banks

Huljak, Ivan; Martin, Reiner; Moccero, Diego - 2019

We use an industrial organisation approach to quantify the size of Total Factor Productivity Growth (TFPG) for euro … period. In addition, we observe that Total Factor Productivity growth for the median euro area bank decreased from around 2 …. Given the need to boost productivity and enhance profitability in the euro area banking sector, these findings suggests that …

Persistent link: https://www.econbiz.de/10012037380

Technology and demand drivers of productivity dynamics in developed and emerging market economies

Dieppe, Alistair; Francis, Neville; Kindberg-Hanlon, Gene - 2021

productivity in advanced and emerging market and developing economies (EMDEs). This paper uses a new method to extract technology … shocks that ex- cludes these in uences, resulting in lasting improvements in labor productivity. The same methodology in turn … is used to identify a stylized example of the effects of a demand shock on productivity. Technology innovations are …

Persistent link: https://www.econbiz.de/10012499558

The role of factor substitution and technical progress in China's great expansion

Manu, Ana-Simona; McAdam, Peter; Willman, Alpo - 2018

We offer a macroeconomic assessment of China’s Reform Period, highlighting several neglected channels underlining its great expansion. Estimating the supply side of the post-Reform economy reveals the relatively high (above unity) value of the elasticity of factor substitution and the...

Persistent link: https://www.econbiz.de/10011904381

Digitalisation and productivity : gamechanger or sideshow?

Anderton, Bob; Botelho, Vasco; Reimers, Paul - 2023

Is digitalisation a massive gamechanger which will deliver huge gains in productivity, or is it more of a sideshow with …-level observations to empirically investigate the impact of digitalisation on productivity growth via various previously unexplored … experience significant productivity gains from digitalisation. Digitalisation does not seem to have relatively stronger impacts …

Persistent link: https://www.econbiz.de/10014230393

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

Underlying inflation and asymmetric risks

Le Bihan, Hervé; Leiva-Leon, Danilo; Pacce, Matías - 2023

We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework...

Persistent link: https://www.econbiz.de/10014380740

Analysis of variance for bayesian inference

Geweke, John; Amisano, Gianni - 2011

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...

Persistent link: https://www.econbiz.de/10009405593

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10003831826

Euro area real-time density forecasting with financial or labor market frictions

McAdam, Peter; Warne, Anders - 2018

We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...

Persistent link: https://www.econbiz.de/10011813503