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Euro Area Real-Time Density Forecasting with Financial or Labor Market Frictions
McAdam, Peter - 2018
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10012921899
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Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10011813503
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DSGE model forecasting : rational expectations vs. adaptive learning
Warne, Anders - 2023
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...
Persistent link: https://www.econbiz.de/10013492913
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The New Area-Wide Model II : an extended version of the ECB's micro-founded model for forecasting and policy analysis with a financial sector
Coenen, Günter; Karadi, Peter; Schmidt, Sebastian; … - 2018
This paper provides a detailed description of an extended version of the ECB's New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008). The extended model - called NAWM II - incorporates a rich financial sector with the threefold aim of (i) accounting for a genuine...
Persistent link: https://www.econbiz.de/10011928964
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Are constant interest rate forecasts modest interventions? : evidence from an estimated open economy DSGE model of the Euro Area
Adolfson, Malin; Laséen, Stefan; Lindé, Jesper; … - 2005
This paper uses an estimated open economy DSGE model to examine if constant interest forecasts one and two years ahead can be regarded as modest policy interventions during the period 1993Q4-2002Q4. An intervention is here defined to be modest if it does not trigger the agents to revise their...
Persistent link: https://www.econbiz.de/10011583556
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Monetary policy analysis in real-time: Vintage combination from a real-time dataset
Altavilla, Carlo; Ciccarelli, Matteo - 2011
matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze … monetary authorities' reaction functions, we show that this simple method can improve forecasting performance and provide …
Persistent link: https://www.econbiz.de/10010274753
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Identifying the weights in exchange market pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10011383023
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The Time-Varying Evolution of Inflation Risks
Korobilis, Dimitris; Landau, Bettina; Musso, Alberto; … - 2021
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting inflation … risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting … approach accessible and empirically relevant for forecasting, we derive an efficient Gibbs sampler by transforming the state …
Persistent link: https://www.econbiz.de/10013324581
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New Evidence on the Effects of Quantitative Easing
Jouvanceau, Valentin - 2019
that differ in the degree of time-variation in parameters, the answer is yes. Our forecasting exercise suggests that it is …
Persistent link: https://www.econbiz.de/10012890228
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...
Persistent link: https://www.econbiz.de/10012818429