Download or read book The Role of Financial Variables in Predicting Economic Activity in the Euro Area written by Mr.Raphael A. Espinoza and published by International Monetary Fund. This book was released on 2009-11-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal set of variables as well as growth in the Rest of the World (an aggregation of seven small countries) and selected combinations of financial variables. Impulse responses (in-sample) show that shocks to financial variables influence real activity. However, according to out-of-sample forecast exercises using the Root Mean Square Error (RMSE) metric, this macro-financial linkage would be weak: financial indicators do not improve short and medium term forecasts of real activity in the euro area, even when their timely availability, relative to GDP, is exploited. This result is partly due to the 'average' nature of the RMSE metric: when forecasting ability is assessed as if in real time (conditionally on the information available at the time of the forecast), we find that models using financial variables would have been preferred, ex ante, in several episodes, in particular between 1999 and 2002. This result suggests that one should not discard, on the basis of RMSE statistics, the use of predictive models that include financial variables if there is a theoretical prior that a financial shock is affecting growth.
Download or read book The role of financial variables in predicting economic activity written by Raphael Espinoza and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book IMF Working Papers written by Raphael A. Espinoza and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area written by Mario Forni and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Euro Area Recessions Using Time Varying Binary Response Models for Financial Markets written by Christophe Bellégo and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent macroeconomic evolutions during the years 2008 and 2009 have pointed out the impact of financial markets on economic activity. In this paper, we propose to evaluate the ability of a set of financial variables to forecast recessions in the euro area by using a non-linear binary response model associated with information combination. Especially, we focus on a time-varying probit model whose parameters evolve according to a Markov chain. For various forecast horizons, we provide a readable and leading signal of recession by combining information according to two combining schemes over the sample 1970 - 2006. First we average recession probabilities and second we linearly combine variables through a dynamic factor model in order to estimate an innovative factor augmented probit model. Out-of sample results over the period 2007 - 2008 show that financial variables would have been helpful in predicting a recession signal as early as September 2007, that is around six months before the effective start of the 2008 - 2009 recession in the euro area.
Download or read book Incorporating Macro Financial Linkages into Forecasts Using Financial Conditions Indices The Case of France written by Ms.Piyabha Kongsamut and published by International Monetary Fund. This book was released on 2017-12-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively. We rely on a VAR approach to estimate the weights of the financial components of each FCI, including equity market returns (which turn out having a relatively strong weight across all FCIs), private sector risk premiums, long-term interest rates, and banks’ credit standards. We find that the tailored FCIs are useful as leading indicators of GDP, investment, and exports, and as a contemporaneous indicator of private consumption. Credit volumes turn out to be lagging indicators of growth. The indices inform us on macro-financial linkages in France and are used to improve the accuracy of quarterly forecasting models and high-frequency “nowcast” models. We show that FCI-augmented models could have significantly improved forecasts during and after the global financial crisis.
Download or read book A Real Time Coincident Indicator of the Euro Area Business Cycle written by Filippo Altissimo and published by . This book was released on 2001 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area written by Mario Forni (Economiste.) and published by . This book was released on 2002 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Random Walk Down the Economic Policy Street written by Juha-Pekka Junttila and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently introduced measure for Economic Policy Uncertainty (EPU) seems to have a role to play in forecasting out-of-sample values for the future real economic activity both for the euro area and the UK economies in the monthly data from 1997-2016. Inclusion of EPU measures either for the US, UK or overall European economies improves the forecasting ability of models based on standard financial market information especially for the period before the 2008 global financial and real economy crisis. However, during and after the most recent crisis period the simple financial market information in the form of the slope of the yield curve and excess stock market returns improves the out-of-sample forecast performance compared to an AR-benchmark model the most. Hence, the EPU information is important in times of 'normal' business cycles, but it might clearly contain similar information components as do the financial market return variables during turbulent crisis periods in the financial markets and real economies.
Download or read book The ECB s Monetary Analysis Revisited written by Helge Berger and published by International Monetary Fund. This book was released on 2008-07 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exclusive focus on non-monetary factors alone may leave the ECB with an incomplete picture of the economy. However, treating monetary factors as a separate matter is a second-best solution. Instead, a general-equilibrium inspired analytical framework that merges the economic and monetary "pillars" of the ECB's policy strategy appears the most promising way forward. The role played by monetary aggregates in such unified framework may be rather limited. However, an integrated framework would facilitate the presentation of policy decisions by providing a clearer narrative of the relative role of money in the interaction with other economic and financial sector variables, including asset prices, and their impact on consumer prices.
Download or read book Productivity and Job Flows written by Juha Kilponen and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on productivity dynamics of a firm-worker match as a potential explanation for the 'unemployment volatility puzzle'. We let new matches and continuing jobs differ in terms of productivity level and sensitivity to aggregate productivity shocks. As a result, new matches have a higher destruction rate and lower, but more volatile, wages than old matches, as new hires receive technology associated with the latest vintage. In our model, an aggregate productivity shock generates a persistent productivity difference between the two types of matches, creating an incentive to open new productive vacancies and to destroy old matches that are temporarily less productive. The model produces a well behaved Beveridge curve, despite endogenous job destruction and more volatile vacancies and unemployment, without needing to rely on differing wage setting mechanisms for new and continuing jobs.
Download or read book Forecasting EU Economic Activity Using Financial Condition Indexes written by George Kapetanios and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the performance of Financial Condition Indexes (FCIs) in forecasting four key macroeconomic variables of EU economies. A wide range of carefully selected financial indicators include Rates and Spreads, Stock Market Indicators and Macroeconomic Quantities. The results provide evidence that FCIs are particularly useful in forecasting GDP growth, Consumption growth, Industrial Production growth and the Unemployment Rate.
Download or read book Global Financial Stability Report April 2012 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2012-04-18 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The April 2012 Global Financial Stability Report assesses changes in risks to financial stability over the past six months, focusing on sovereign vulnerabilities, risks stemming from private sector deleveraging, and assessing the continued resilience of emerging markets. The report probes the implications of recent reforms in the financial system for market perception of safe assets, and investigates the growing public and private costs of increased longevity risk from aging populations.
Download or read book Assessing Macro financial Linkages written by and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Euro Area Business Cycle written by Lucrezia Reichlin and published by Centre for Economic Policy Research. This book was released on 2004 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Powering the Digital Economy Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Download or read book Report on Financial Structures written by European Central Bank and published by . This book was released on 2002 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt:
