Similar Search Results

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

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

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

Cross-country differences in monetary policy transmission

Berben, Robert-Paul; Locarno, Alberto; Morgan, Julian; … - 2004

This paper examines possible explanations for observed differences in the transmission of euro area monetary policy in central bank large-scale macroeconomic models. In particular it considers the extent to which these differences are due to differences in the underlying economies or (possibly...

Persistent link: https://www.econbiz.de/10009639460

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

The role of central bank transparency for guiding private sector forecasts

Ehrmann, Michael; Eijffinger, Sylvester; Fratzscher, Marcel - 2010

There is a broad consensus in the literature that costs of information processing and acquisition may generate costly 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...

Persistent link: https://www.econbiz.de/10009640413

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

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

Indeterminacy with inflation-forecast-based rules in a two-bloc model

Batini, Nicoletta; Levine, Paul; Pearlman, Joseph - 2004

We examine the performance of forward-looking inflation-forecast-based rules in open economies. In a New Keynesian two-bloc model, a methodology first employed by Batini and Pearlman (2002) is used to obtain analytically the feedback parameters/horizon pairs associated with unique and stable...

Persistent link: https://www.econbiz.de/10009639394

Inflation persistence during periods of structural change

Hondroyiannis, George; Lazaretou, Sophia - 2004

The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes in policy regimes. Two empirical methodologies, univariate autoregressive (AR) modelling and second-generation random coefficient (RC) modelling, are employed to estimate...

Persistent link: https://www.econbiz.de/10009639424