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Analyzing and Forecasting Economic Crises with An Agent-Based Model of the Euro Area
Hommes, Cars H.; Poledna, Sebastian - 2023
persistent rise in inflation following the COVID-19 recession …
Persistent link: https://www.econbiz.de/10014254225
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Analyzing and forecasting economic crises with an agent-based model of the euro area
Hommes, Cars; Poledna, Sebastian - 2023
persistent rise in inflation following the COVID-19 recession …
Persistent link: https://www.econbiz.de/10014321786
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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we...
Persistent link: https://www.econbiz.de/10012227436
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Economic Forecasting with an Agent-Based Model
Poledna, Sebastian - 2020
We develop the first agent-based model (ABM) that can compete with and in the long run significantly outperform benchmark VAR and DSGE models in out-of-sample forecasting of macro variables. Our ABM for a small open economy uses micro and macro data from national sector accounts, input-output...
Persistent link: https://www.econbiz.de/10012846849
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The Role of Financial and Macroeoconomic Conditions in Forecasting Recession
Natoli, Filippo; Venditti, Fabrizio - 2022
indicators. Using a probit forecasting model, we show that measures of market stress and the inflation-unemployment situation … from record high inflation and tight labor markets, leaving central banks between a rock and a hard place: either tighten …, increasing recession risks, or accept high inflation to avoid a hard landing …
Persistent link: https://www.econbiz.de/10014079586
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Understanding Post-Pandemic Inflation Dynamics with a Behavioral Macroeconomic Model of the Canadian Economy
Grazzini, Jakob; Hommes, Cars H.; Poledna, Sebastian; … - 2023
This paper analyses the post-pandemic inflation dynamics in Canada using a behavioral macroeconomic model of the Bank …-pandemic inflation can be explained by these simple heuristics and traced back to the lifting of economic restrictions in mid-2020 …, triggering demand-pull inflation. This result suggests that the cost-push inflation in 2021 and beyond actually originated from a …
Persistent link: https://www.econbiz.de/10014256410
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Why Do Inflation Rates Vary Across Countries?
Xing, Bingxin - 2022
February 2022. The sizeable cross-sectional heterogeneity in inflation is well explained by the differential exposures to a set … additional global factors, revealing that economies with procyclical inflation generally have higher inflation than economies … with countercyclical inflation. Furthermore, the comparisons with cross-sectional asset pricing theory are interesting …
Persistent link: https://www.econbiz.de/10014237343
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Forecasting euro area recessions in real-time
Pirschel, Inske - 2016
I present evidence that the linear mixed-frequency Bayesian VAR provides very sharp and well calibrated monthly real-time recession probabilities for the euro area for the period from 2004 until 2013. The model outperforms not only the univariate regime-switching models for a number of hard and...
Persistent link: https://www.econbiz.de/10011415289
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Nowcasting employment in the euro area
Bańbura, Marta; Belousova, Irina; Bodnár, Katalin; … - 2023
Euro area labour market variables are published with a considerable lag, longer than in the case of real GDP. We develop a suite of models to provide a more timely estimate (nowcast) of euro area quarterly employment growth based on a broad range of monthly indicators. The suite includes a batch...
Persistent link: https://www.econbiz.de/10014315194
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Economic forecasting with an agent-based model
Poledna, Sebastian; Miess, Michael; Hommes, Cars H.; … - In: European economic review : EER 151 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014235154