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Would DSGE models have predicted the Great Recession in Austria?
Breuss, Fritz - 2016
DSGE (Dynamic stochastic general equilibrium) models are the common workhorse of modern macroeconomic theory. Whereas story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of DSGE models is only recently topical. In this study,...
Persistent link: https://www.econbiz.de/10011561187
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The effectiveness of forward guidance in an estimated DSGE model for the Euro area : the role of expectations
Cardani, Roberta; Paccagnini, Alessia; Bekiros, Stelios - 2016
We assess the effectiveness of the forward guidance undertaken by European Central Bank using a standard medium-scale DSGE model à la Smets and Wouters (2007). Exploiting data on expectations from surveys, we show that incorporating expectations should be crucial in performance evaluation of...
Persistent link: https://www.econbiz.de/10011583778
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011771984
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011709632
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Are Euro-Area expectations about recession phases effective to anticipate consequences of economic crises?
Rubilar-González, Marco; Pino, Gabriel - In: SERIEs : Journal of the Spanish Economic Association 9 (2018) 2, pp. 141-161
tool to identify and characterize expectations of business cycle phases for Germany, Spain, the Euro Area, and the European …
Persistent link: https://www.econbiz.de/10011865218
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Forecasting euro-area variables with German pre-EMU data
Brüggemann, Ralf (contributor);  … - 2006
-Euro period or by using just data from Germany for the pre-Euro period. Our forecast comparison is based on quarterly data for the … nonlinear or time-varying coefficient models. It turns out that most variables which have a similar level for Germany and the … that for variables which have a similar level for Germany and the Euro-area it may be reasonable to consider the German pre …
Persistent link: https://www.econbiz.de/10003375993
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Forecasting Stock Market Volatility with Macroeconomic Variables in Real Time
Döpke, Jörg - 2016
Persistent link: https://www.econbiz.de/10012989311
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Employment Uncertainty a Year after the Irruption of the COVID-19 Pandemic
Sorić, Petar; Claveria, Oscar - 2021
This paper examines the evolution of consumer uncertainty about unemployment one year after the irruption of the covid-19 pandemic in European countries. Since uncertainty is not directly observable, we use two alternative methods to directly approximate it. Both approaches are based on...
Persistent link: https://www.econbiz.de/10013225259
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The Heterogeneous Economic Impact of COVID-19 Among Euro Area Regions and Countries
Prades Illanes, Elvira; Tello, Patrocinio - 2020
the impact of an identical shock on the largest euro area countries (Germany, France, Italy and Spain). The findings … shutdowns as that observed in the Spanish economy, the impact on Germany, France and, to a lesser extent, Italy is comparatively …
Persistent link: https://www.econbiz.de/10014095971
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Macroeconomic impact on expected default frequency
Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008
We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...
Persistent link: https://www.econbiz.de/10003618542