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Quantifying macroeconomic uncertainty in Norway
Bowe, Frida; Kirkeby, Sara Jahr; Lindalen, Ingvild Hagen; … - 2023
This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the...
Persistent link: https://www.econbiz.de/10014313751
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ECB macroeconometric models for forecasting and policy analysis : development, current practices and prospective challenges
Ciccarelli, Matteo (ed.); Darracq Pariès, Matthieu (ed.);  … - 2024
in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio … of the main macroeconomic models and illustrate how they can in principle be used for economic forecasting, scenario and …
Persistent link: https://www.econbiz.de/10014507371
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2023 macroprudential stress test of the euro area banking system : bank resilience in a changing environment : challenges and opportunities
Cappelletti, Giuseppe; Dimitrov, Ivan; Naruševičius, … - 2024
This paper presents the updated macroprudential stress test for the euro area banking system, comprising around 100 of the largest euro area credit institutions across 19 countries. The approach involves modelling banks' reactions to changing economic conditions. It also examines the effects of...
Persistent link: https://www.econbiz.de/10014530281
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European banks are not immune to national elections
Fungáčová, Zuzana; Kerola, Eeva; Weill, Laurent - 2024
We investigate whether European banks adjust their loan prices and volumes of new lending in the months running up to major national elections. Using a unique dataset that draws on data covering some 250 banksin 19 Eurozone countries from 2010 to 2020 at monthly frequency, and that includes...
Persistent link: https://www.econbiz.de/10014481038
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Nowcasting Finnish GDP growth using financial variables : a MIDAS approach
Laine, Olli-Matti; Lindblad, Annika - 2020
well. Our results suggest that the sampling frequency of financial market variables is not crucial: the forecasting …
Persistent link: https://www.econbiz.de/10012214415
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Monetary policy rules : model uncertainty meets design limits
Dück, Alexander; Verona, Fabio - 2023
Optimal monetary policy studies typically rely on a single structural model and identification of model-specific rules that minimize the unconditional volatilities of inflation and real activity. In our proposed approach, we take a large set of structural models and look for the model-robust...
Persistent link: https://www.econbiz.de/10014364060
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Testing big data in a big crisis : nowcasting under COVID-19
Barbaglia, Luca; Frattarolo, Lorenzo; Onorante, Luca; … - 2022
becoming outdated and their forecasting performance deteriorating rapidly. This paper presents two novelties that could be … adopted by forecasting institutions in unconventional times. The first innovation is the construction of an extensive data set … for macroeconomic forecasting in Europe. We collect more than a thousand time series from conventional and unconventional …
Persistent link: https://www.econbiz.de/10013349370
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The scarring effects of deep contractions
Aikman, David; Drehmann, Mathias; Juselius, Mikael; … - 2022
We find that deep contractions have highly persistent scarring effects, depressing the level of GDP at least a decade hence. Drawing on a panel of 24 advanced and emerging economies from 1970 to the present, we show that these effects are nonlinear and asymmetric: there is no such persistence...
Persistent link: https://www.econbiz.de/10013382160
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Analysing euro area inflation outlook with the Phillips curve
Oinonen, Sami; Vilmi, Lauri - 2021
dynamics. Its forecasting performance is also comparable to the performance of the ECB's official forecasts in both short- and …
Persistent link: https://www.econbiz.de/10012622377
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A model for predicting Finnish household loan stocks
Nyholm, Juho; Silvo, Aino - 2022
We propose a new Bayesian VAR model for forecasting household loan stocks in Finland. The model is designed to work as … mean squared forecasting errors (RMSFEs). We then select a preferred specification that performs best in predicting the …
Persistent link: https://www.econbiz.de/10013272734