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Modelling inflation in the euro area
Jansen, Eilev S. - 2004
The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...
Persistent link: https://www.econbiz.de/10009636545
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On the selection of forecasting models
Inoue, Atsushi; Kilian, Lutz - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...
Persistent link: https://www.econbiz.de/10009639853
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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/10009640913
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Aggregation and euro area Phillips curves
Fabiani, Silvia; Morgan, Julian - 2003
This paper examines the issue of the impact of aggregation in the empirical analysis of euro area labour markets. A Phillips Curve describing the adjustment of unit labour costs is estimated at the national and aggregate level for the 5 largest euro area countries. Potential sources of...
Persistent link: https://www.econbiz.de/10009639854
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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009
volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …
Persistent link: https://www.econbiz.de/10009640464
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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …
Persistent link: https://www.econbiz.de/10009636551
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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
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …
Persistent link: https://www.econbiz.de/10009639420
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Combining the forecasts in the ECB survey of professional forecasters
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/10009640510
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A structural common factor approach to core inflation estimation and forecasting
Morana, Claudio - 2004
In the paper we propose a new methodological approach to core in- flation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in...
Persistent link: https://www.econbiz.de/10009636528