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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

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; … - 2021

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...

Persistent link: https://www.econbiz.de/10013315382

Euro area real-time density forecasting with financial or labor market frictions

McAdam, Peter; Warne, Anders - 2018

Persistent link: https://www.econbiz.de/10011813503

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

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

Measuring market expectations

Baumeister, Christiane - 2021

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

Persistent link: https://www.econbiz.de/10012622575

Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

Persistent link: https://www.econbiz.de/10012886359

Joint Prediction Bands for Macroeconomic Risk Management

Akram, Q. Farooq - 2016

In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a new method of producing fan charts that better communicates the uncertainty...

Persistent link: https://www.econbiz.de/10012989353

Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium

Bianchi, Daniele - 2015

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

Persistent link: https://www.econbiz.de/10013034741

Tracking global economic uncertainty : implications for the euro area

Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...

Persistent link: https://www.econbiz.de/10012503567

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