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Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Villani, Mattias; Warne, Anders - 2003
handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated … processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A … straightforward evaluation of the posterior distribution. The methods are used to analyze the effects of monetary policy in Sweden. …
Persistent link: https://www.econbiz.de/10009636519
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A structural common factor approach to core inflation estimation and forecasting
Morana, Claudio - 2004
principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of … monetary inflation. The proposed measure is characterised by all the properties that an u0093idealu0094 core inflation process …
Persistent link: https://www.econbiz.de/10009636528
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A markup model of inflation for the euro area
Bowdler, Christopher; Jansen, Eilev S. - 2004
Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long …
Persistent link: https://www.econbiz.de/10009636529
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Interpolation and backdating with a large information set
Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003
Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...
Persistent link: https://www.econbiz.de/10009635924
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Interpolation and backdating with a large information set
Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003
Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...
Persistent link: https://www.econbiz.de/10009640916
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Implementing optimal control in cointegrated I(1) structural VAR models
Monti, Francesca V. - 2003
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...
Persistent link: https://www.econbiz.de/10009635883
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Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio - 2004
introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the …
Persistent link: https://www.econbiz.de/10009636544
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Forecasting euro area inflation
Hubrich, Kirstin - 2003
Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inflation can be improved by aggregating forecasts of...
Persistent link: https://www.econbiz.de/10009635954
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European energy and transport : trends to 2030
Mantzos, Leonidas; Pantelis, Capros; Chesshire, John - National Technical University of Athens - 2003
This report provides an update of the trends to 2030 published in 2003. The new baseline takes into account a high energy import price environment, the unsatisfactory economic growth of recent years and the more subdued growth prospects taking into account demographic developments. It includes,...
Persistent link: https://www.econbiz.de/10009637419
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BIOFUELS SUSTAINABILITY CRITERIA Relevant issues to the proposed Directive on the promotion of the use of energy from renewable sources {COM(2008) 30 final}
Johnson, Francis X. - 2008
The role envisioned for liquid biofuels for transport has come under increased scrutiny in the past year or two, due to the potential social and environmental impacts associated with scaling up biofuels production and use from its low level—currently representing about 1% of transport fuels...
Persistent link: https://www.econbiz.de/10009638588