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Forecasting with instabilities : an application to DSGE models with financial frictions

Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - 2015

) models affects their forecasting performance. We apply this analysis to medium-scale DSGE models with and without financial … with financial frictions outperform in forecasting inflation but not the GDP growth rate. …

Persistent link: https://www.econbiz.de/10011349997

Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US

Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - Dipartimento di Economia, Metodi Quantitativi e … - 2015

This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US … forecasting horizon/period. To interpret this finding it is crucial to take into account parameters instabilities showed by a … forecasting performance of output and inflation in the recent period. …

Persistent link: https://www.econbiz.de/10011165203

Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016

TVP-VAR provides the best forecasting performance for the series of GDP and net worth of financial intermediaries for all … steps-ahead, while the DSGE model outperforms the other specifications in forecasting inflation and the federal funds rate …

Persistent link: https://www.econbiz.de/10011801276

Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016

Persistent link: https://www.econbiz.de/10011518833

Great recession, slow recovery and muted fiscal policies in the US

Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016

This paper reconsiders the role of macroeconomic shocks and policies in determining the Great Recession and the subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate policy. In contrast with previous findings, the...

Persistent link: https://www.econbiz.de/10011801267

In search of the Euro area fiscal stance

Albonico, Alice; Tirelli, Patrizio; Paccagnini, Alessia - 2016

This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumption, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and,...

Persistent link: https://www.econbiz.de/10011801277