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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 …) as opposed to forecasting the aggregate HICP directly. The analysis includes univariate and multivariate linear time …
Persistent link: https://www.econbiz.de/10009635954
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Euro area inflation forecasting
Benalal, Nicholai; Diaz del Hoyo, Juan Luis; Landau, Bettina - 2004
In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a whole, considering the four largest euro...
Persistent link: https://www.econbiz.de/10009639428
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Nowcasting inflation using high frequency data
Modugno, Michele - 2011
This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...
Persistent link: https://www.econbiz.de/10009640700
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Cross-country differences in monetary policy transmission
Berben, Robert-Paul; Locarno, Alberto; Morgan, Julian; … - 2004
treatment of expectations or wealth - can have a major bearing on the results that may not necessarily reflect differences in …
Persistent link: https://www.econbiz.de/10009639460
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Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data
Bańbura, Marta; Modugno, Michele - 2010
In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...
Persistent link: https://www.econbiz.de/10009640351
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The role of central bank transparency for guiding private sector forecasts
Ehrmann, Michael; Eijffinger, Sylvester; Fratzscher, Marcel - 2010
disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in … expectations. This paper analyses empirically whether enhanced central bank transparency lowers dispersion among professional … (economic) transparency, and given our findings that disagreement among inflation expectations in the general public is not …
Persistent link: https://www.econbiz.de/10009640413
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Leading indicators in a globalised world
Fichtner, Ferdinand; Rüffer, Rasmus; Schnatz, Bernd - 2009
find evidence that the CLI encompasses useful information for forecasting industrial production, particularly over horizons …
Persistent link: https://www.econbiz.de/10009640454
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The predictive content of sectoral stock prices
Andersson, Magnus; D’Agostino, Antonello; Bondt, Gabe … - 2011
This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the euro area. Our findings are that the predictive content of sectoral stock market indicators: i) is...
Persistent link: https://www.econbiz.de/10009640832
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Inflation persistence during periods of structural change
Hondroyiannis, George; Lazaretou, Sophia - 2004
, while it started to decline after 1997, when inflationary expectations seem to have been stabilised, and thus, monetary …
Persistent link: https://www.econbiz.de/10009639424
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quantifying and forecasting inflation risks
Kilian, Lutz; Manganelli, Simone - 2003
In deciding the monetary policy stance, central bankers need to evaluate carefully the risks the current economic situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation within pre-specified bounds. We develop formal tools of...
Persistent link: https://www.econbiz.de/10009639841