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Forecasting German key macroeconomic variables using large dataset methods
Pirschel, Inske; Wolters, Maik H. - 2014
of the different models, respectively. We find that overall the large Bayesian VAR and the Bayesian factor augmented VAR …
Persistent link: https://www.econbiz.de/10010357899
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An Inflation-Predicting Measure of the Output Gap in the Euro Area
Jarocinski, Marek - 2016
Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time...
Persistent link: https://www.econbiz.de/10012981025
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Mind the Gap : What is the Best Measure of Slack in the Euro Area?
Ubide, Angel J. - 2021
Assessing the magnitude of the output gap is critical to achieving an optimal policy mix. Unfortunately, the gap is an unobservable variable, which, in practice, has been estimated in a variety of ways, depending on the preferences of the modeler. This model selection problem leads to a...
Persistent link: https://www.econbiz.de/10013211944
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The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
Forni M.; Hallin M. - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005537827
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Financial instability and economic activity
Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021
estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in …
Persistent link: https://www.econbiz.de/10012792745
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Forecasting German key macroeconomic variables using large dataset methods : conference paper
Pirschel, Inske; Wolters, Maik H. - 2014
models, a large Bayesian VAR and model averaging techniques, where aggregation takes place before, during and after the … estimation of the different models, respectively. We find that overall the large Bayesian VAR provides the most precise forecasts … compared to the other large scale approaches and a number of small benchmark models. For some variables the large Bayesian VAR …
Persistent link: https://www.econbiz.de/10010489849
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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The euro area government spending multiplier in demand- and supply-driven recessions?
Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; … - 2023
We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high...
Persistent link: https://www.econbiz.de/10014364021
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The euro area government spending multiplier in demand- and supply-driven recessions
Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; … - 2022
We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high...
Persistent link: https://www.econbiz.de/10013174156
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125