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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

This paper takes stock of the ECB's macroeconometric modelling strategy by focusing on the models and applications used 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...

Persistent link: https://www.econbiz.de/10014507371

2023 macroprudential stress test of the euro area banking system : bank resilience in a changing environment : challenges and opportunities

Cappelletti, Giuseppe; Dimitrov, Ivan; Le Grand, Catherine - 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

Parallel tempering for DSGE estimation

Brault, Joshua - 2024 - Last updated: May 10, 2024

In this paper, I develop a population-based Markov chain Monte Carlo (MCMC) algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium (DSGE) models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered...

Persistent link: https://www.econbiz.de/10014558970

Non-parametric identification and testing of quantal response equilibrium

Hoelzemann, Johannes; Webb, Ryan; Xie, Erhao - 2024 - Last updated: June 17, 2024

We study the falsifiability and identification of Quantal Response Equilibrium (QRE) when each player's utility and error distribution are relaxed to be unknown non-parametric functions. Using variations of players' choices across a series of games, we first show that both the utility function...

Persistent link: https://www.econbiz.de/10014563000

The impact of immigration on Portuguese intra-industry trade

Leitão, Nuno Carlos - 2013

This paper investigates the relationship between intra-industry trade (IIT) and immigration flows using a gravity model for the period 2000-2010 between Portugal and European Union’s Member States (EU-27). The present study uses the methodology of Kandogan (2003) for separating IIT into its...

Persistent link: https://www.econbiz.de/10009714371

Dynamic hierarchical factor models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10003948200

Causal inference in accounting research

Gow, Ian D.; Larcker, David F.; Reiss, Peter C. - 2016

This paper examines the approaches accounting researchers use to draw causal inferences using observational (or non-experimental) data. The vast majority of accounting research papers draw causal inferences notwithstanding the well-known difficulties in doing so. While some recent papers seek to...

Persistent link: https://www.econbiz.de/10011493334

Inflation and disinflation in Turkey

Kibritçioğlu, Aykut; Rittenberg, Libby; Selçuk, Faruk; … - 2002

Based on its outward-oriented development strategy, respectable growth, increased integration into world trade and financial markets, and imperfect though vibrant and wide-based democracy, Turkey is often cited as a development model for other countries in the region and elsewhere. Countering...

Persistent link: https://www.econbiz.de/10010517439

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - 2014 - March 2014

limited-information maximum likelihood. We show that all the test statistics, like the ones used for inference on the … related to the well-known test statistic of Anderson and Rubin. The distributions of the overidentification statistics are …

Persistent link: https://www.econbiz.de/10010128349

Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic

Kleibergen, Frank - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a … freedom parameter of the misspecification statistic equals the degree of over-identification. We show that statistics with … good power properties, like the likelihoodratio statistic, are a weighted average of these two statistics. The location …

Persistent link: https://www.econbiz.de/10011326948