Download or read book Trend cycle decomposition of output and Euro area inflation forecasts a real time approach based on model combination written by Pierre Guérin and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book EIB Investment Report 2017 2018 written by European Investment Bank and published by European Investment Bank. This book was released on 2018-09-07 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The EIB Investment Report is the bank's flagship research report, aiming to deepen our understanding of investment and investment financing in the EU. It presents and analyses the 2017 release of the EIB Investment Survey (EIBIS) of businesses in the EU, which also includes a Europe-wide survey of municipal authorities. Following a theme of "From recovery to sustainable growth", it describes how the investment recovery in Europe continues to strengthen and become more broad-based, across countries, sectors and asset classes. Business investment is being driven by the improving outlook and efforts to keep pace with competitors, but there is still need to improve business environment. This investment recovery is generally supported by good financing conditions for firms, but deleveraging remains a drag. EU firms continue to be net savers overall, suggesting that many firms are unwilling to invest despite a liquid financial position. Nonetheless, with the improving economy there also emerge structural investment needs in innovation, skills, infrastructure and sustainability. The EU continues to fall behind global peers in terms of R&D spending, while other types of intangibles – software, training, organisational capital, etc. – prove to be just as important. Business environment has to improve further. Persistent financial fragmentation across the EU could slow convergence and reduce capacity to absorb shocks. This report indicates that there is a window of opportunity to address structural investment needs through both public and private investment, with targeted policy intervention to ease specific constraints.

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Download or read book Forecast Combination for Euro Area Inflation written by Kirstin Hubrich and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Real time GDP Forecasting in the Euro Area written by Alberto Baffigi and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Growth Accounitg for the Euro Area written by Tommaso Proietti and published by . This book was released on 2007 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with the estimation of euro area potential output growth and its decomposition according to the sources of growth. The growth accounting exercise is based on a multivariate structural time series model which combines the decomposition of total output according to the production function approach with price and wage equations that embody Phillips type relationships linking inflation and nominal wage dynamics to the output gap and cyclical unemployment, respectively. Assuming a Cobb-Douglas technology with constant returns to scale, potential output results from the combination of the trend levels of total factor productivity and factor inputs, capital and labour (hours worked), which is decomposed into labour intensity (average hours worked), the employmen trate, the participation rate, and population of working age. The nominal variables (prices and wages) play an essential role in defining the trend levels of the components of potential output, as the latter should pose no inflationary pressures on prices and wages. The structural model is further extended to allow for the estimation of potential output growth and the decomposition according to the sources of growth at different horizons (long-run, medium run and short run); in particular, we propose and evaluate a model-based approach to the extraction of the low-pass component of potential output growth at different cutoff frequencies. The approach has two important advantages : the signal extraction filters have an automatic adaptation property at the boundaries of the sample period, so that the real time estimates do not suffer from what is often referred to as the "end-of-sample bias". Secondly, it is possible to assess the uncertainty of potential output growth estimates with different degrees of smoothness.

Download or read book Real Time Forecasts of Inflation written by Libero Monteforte and published by . This book was released on 2008 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a mixed frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real time is compared with that of standard VARs and of daily quotes of economic derivatives on euro area inflation. We find that the inclusion of daily variables helps to reduce forecast errors with respect to models that consider only monthly variables. The mixed frequency model also displays superior predictive performance with respect to forecasts solely based on economic derivatives.

Download or read book Seasonal Adjustment Methods and Real Time Trend Cycle Estimation written by Estela Bee Dagum and published by Springer. This book was released on 2016-06-20 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.

Download or read book State Space Decomposition Under the Hypothesis of Non Zero Correlation Between Trend and Cycle with an Application to the Euro zone written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses several issues related to trend-cycle decompositions with correlated components of macroeconomic time series, and illustrates them with reference to the Euro area and the Italian gross domestic product. In particular, we address the small sample properties of the estimated correlation of the trend and cycle disturbances, and review the interpretative issues raised by these decomposition. The nature of inferences about trends and cycles, with reference to the real time and final estimates, and the related topic of revision, is considered, along with the relationship with other popular results, such as the Beveridge and Nelson decomposition, the Single Source of Error and the Innovation models. We also look at the consequences of seasonal adjustment and temporal aggregation on the empirical evidence for a negative correlation between the disturbances. Finally, we illustrate that multivariate analysis can provide additional insight on this topic.

Download or read book Leading Indicators for Euro Area Inflation and GDP Growth written by Massimiliano Giuseppe Marcellino and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB Euro-area model database, plus a set of similar variables for the US. We compare the forecasting performance of each indicator with that of purely autoregressive models, using an evaluation procedure that is particularly relevant for policy making. The evaluation is conducted both expost and in a pseudo real time context, for several forecast horizons, and using both recursive and rolling estimation. We also analyze three different approaches to combining the information from several indicators. First, we discuss the use as indicators of the estimated factors from a dynamic factor model for all the indicators. Second, an automated model selection procedure is applied to models with a large set of indicators. Third, we consider pooling the single indicator forecasts. The results indicate that single indicator forecasts are on average better than those derived from more complicated methods, but for them to beat the autoregression a different indicator has to be used in each period. A simple real-time procedure for indicator-selection produces good results.

Download or read book Globalisation and Density Forecasts of Euro area Inflation from Phillips Curve Models written by and published by . This book was released on 2016 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we test whether globalisation has affected the relationship between the output gap and inflation in the euro area. Then we investigate how the traditional Phillips Curve relating the inflation and the domestic output gap can be enhanced incorporating globalisation effects. We analyse the effect of different specification of the Phillips Curve in an out-of-sample real-time simulation exercise, focusing on the inflation density forecast.

Download or read book The forecasting performance of real time estimates of the euro area output gap written by Massimiliano Marcellino and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trend cycle Decompositions Allowing Structural Changes and Outliers written by Tatsuma Wada and published by . This book was released on 2006 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation pertains to issues related to trend-cycle decompositions allowing structural breaks and outliers. The first chapter is concerned with this decomposition problem for the postwar quarterly US real GDP series. Recent work shows that common methods such as the Unobserved Components (UC) and Beveridge-Nelson decompositions for US real GDP yield very different cycles with little resemblance to the NBER chronology, and some imply a negative correlation between the cycle and the trend. We argue that these features are due to the neglect of a change in the slope of the trend in 1973. Allowing this change, all methods yield a non-stochastic trend with a cycle that accords well with the NBER chronology. We also propose a generalized UC model, which permits endogenous infrequent changes using a mixtures of Normals distribution for the shocks. The second chapter generalizes the generalized UC model with mixtures of Normals to handle sudden level shifts and outliers as well. We investigate the differences in the implied trend and cycle compared to the popular decomposition obtained with the Hodrick and Prescott filter. Our results show important qualitative and quantitative differences in the implied cycles for both real GDP and consumption series for the G7 countries. Using our decomposition, the cross-country consumption correlations are generally higher than the output correlations, a result which provides a partial solution to the consumption correlation puzzle in the international finance literature. The third chapter considers another important issue in Macroeconomics. A puzzling feature in the literature is that it is believed that a positive technology shock decreases hours. This result arises because of structural breaks in the trend of labor productivity and the low frequency component of hours. We revisit the empirical evidence by allowing non-linearities in the trend function of both the productivity and hours worked series. Along with statistical tests for unit root and structural breaks, using our generalized unobserved components model with flexible trends allows us to conclude that productivity shocks unambiguously increase hours worked, consistent with the prediction of standard real business cycle models.

Download or read book How Informative Are Real Time Output Gap Estimates in Europe written by Mr.Alvar Kangur and published by International Monetary Fund. This book was released on 2019-09-20 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the properties of the IMF-WEO estimates of real-time output gaps for countries in the euro area as well as the determinants of their revisions over 1994-2017. The analysis shows that staff typically saw economies as operating below their potential. In real time, output gaps tend to have large and negative averages that are largely revised away in later vintages. Most of the mis-measurement in real time can be explained by the difficulty in predicting recessions and by overestimation of the economy’s potential capacity. We also find, in line with earlier literature, that real-time output gaps are not useful for predicting inflation. In addition, countries where slack (and potential growth) is overestimated to a larger extent primary fiscal balances tend to be lower and public debt ratios are higher and increase faster than projected. Previous research suggests that national authorities’ real-time output gaps suffer from a similar bias. To the extent these estimates play a role in calibrating fiscal policy, over-optimism about long-term growth could contribute to excessive deficits and debt buildup.

Download or read book The Trend cycle Decomposition of Output and the Phillips Curve written by Fabio Busetti and published by . This book was released on 2013 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Report on the European Economy written by and published by . This book was released on 2006 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Measuring Output Gap Is It Worth Your Time written by Mr.Jiaqian Chen and published by International Monetary Fund. This book was released on 2020-02-07 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.