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Bruneau, Catherine - 2010

In order to provide medium run forecasts of headline and core HICP inflation for the euro area, we assess the usefulness of dynamic factor models. We use Stock and Watson's (1999) out-of-sample methodology for models estimated over the 1988:1-2002:3 period, with balanced and unbalanced panels....

Persistent link: https://www.econbiz.de/10013134965

Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guerin, Pierre - 2011

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap in order to cope with both model uncertainty and parameter instability that are inherent to trend-cycle decomposition models of GDP. We first estimate nine models of...

Persistent link: https://www.econbiz.de/10013120226

Missing Disinflation and Missing Inflation : The Puzzles that Aren't

Bobeica, Elena - 2017

In the immediate wake of the Great Recession we didn't see the disinflation that most models predicted and, subsequently, we didn't see the inflation they predicted. We show that these puzzles disappear in a Vector Autoregressive model that properly accounts for domestic and global factors. Such...

Persistent link: https://www.econbiz.de/10012963925

On the Conditional Distribution of Euro Area Inflation Forecast

Busetti, Fabio - 2016

The paper uses dynamic quantile regressions to estimate and forecast the conditional distribution of euro …

Persistent link: https://www.econbiz.de/10013000443

The Information Content of Money in Forecasting Euro Area Inflation

Berger, Helge - 2009

This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using...

Persistent link: https://www.econbiz.de/10013156265

Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area

Ganics, Gergely - 2020

We incorporate external information extracted from the European Central Bank's Survey of Professional Forecasters into the predictions of a Bayesian VAR, using entropic tilting and soft conditioning. The resulting conditional forecasts significantly improve the plain BVAR point and density...

Persistent link: https://www.econbiz.de/10012844481

Formation of Inflation Expectations in Turbulent Times : Can ECB Manage Inflation Expectations of Professional Forecasters?

Łyziak, Tomasz - 2017

This paper studies the formation of inflation expectations in the euro area. We first analyse the forecast accuracy of …

Persistent link: https://www.econbiz.de/10012953313

How Informative are Aggregated Inflation Expectations? Evidence from the ECB Survey of Professional Forecasters

Oinonen, Sami - 2017

compare two sub-groups of survey respondents divided on the basis of forecast accuracy. Then, we examine possible differences … between regular and irregular forecasters. Finally, we assess the relevance of aggregated forecast revisions in the unbalanced … panel by constructing alternative forecast revisions based on the set of sub-panels of fixed composition. The results show …

Persistent link: https://www.econbiz.de/10012969207

Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area

Ganics, Gergely - 2019

Persistent link: https://www.econbiz.de/10012860722

Point and Density Forecasts for the Euro Area Using Bayesian VARs

Berg, Tim Oliver - 2014

Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when … the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …

Persistent link: https://www.econbiz.de/10013055383