There are currently 37 papers in this
Discussion Paper series
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Paper title |
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Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model |
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Series number |
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EABCN/CEPR
Discussion Paper 37/2007 |
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Author(s) |
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Giovanni Amisano, Università di Brescia and European Central Bank, and
Oreste Tristani, European Central Bank |
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Date published |
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July 2007 |
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Keywords |
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Bayesian estimation, DSGE models, inflation persistence, second order approximations and sequential Monte Carlo |
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Paper title |
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Forming Priors for DSGE Models (and How It Affects the
Assessment of Nominal Rigidities) |
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Series number |
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EABCN/CEPR
Discussion Paper 36/2007 |
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Author(s) |
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Marco Del Negro, Federal Reserve Bank of Atlanta and Frank Schorfheide, University of Pennsylvania |
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Date published |
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February 2007 |
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Keywords |
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Bayesian analysis, DSGE models, model comparisons, nominal
rigidities and prior elicitation |
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Paper title |
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Evaluating An Estimated New Keynesian Small Open Economy
Model |
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Series number |
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EABCN/CEPR
Discussion Paper 35/2007 |
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Author(s) |
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Malin Adolfson, Sveriges Riksbank
Stefan Laséen, Sveriges Riksbank
Jesper Lindé, Sveriges Riksbank and CEPR
Mattias Villani, Stockholm University and Sveriges Riksbank |
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Date published |
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January 2007 |
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Keywords |
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Bayesian inference, DSGE model, DSGE-VAR model, DSGEVECM
model and open economy |
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Paper title |
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Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not |
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Series number |
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EABCN/CEPR
Discussion Paper 34/2006 |
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Author(s) |
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Pau Rabanal, ‘La Caixa’ and Vicente Tuesta Reátegui, Banco Central de Reserva del Perú |
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Date published |
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November 2006 |
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Keywords |
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bayesian estimation, model comparison and real exchange rates |
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Paper title |
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The Phillips Curve Under State-Dependent Pricing |
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Series number |
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EABCN/CEPR
Discussion Paper 33/2006 |
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Author(s) |
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Hasan Bakhshi, Lehman Brothers, UK, Hashmat Khan, Carleton University, Ottawa and
Barbara Rudolf, Swiss National Bank |
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Date published |
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November 2006 |
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Keywords |
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inflation dynamics, phillips curve and state-dependent pricing |
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Paper title |
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Drift and Breaks in Labour Productivity |
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Series number |
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EABCN/CEPR
Discussion Paper 32/2006 |
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Author(s) |
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Luca Benati, Bank of England |
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Date published |
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August 2006 |
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Keywords |
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bootstrapping, frequency domain, median-unbiased estimation,
Monte Carlo integration, structural break tests, time-varying parameters and
variance ratio |
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Paper title |
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Trend Breaks, Long-Run Restrictions and the Contractionary
Effects of Technology Improvements |
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Series number |
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EABCN/CEPR
Discussion Paper 31/2006 |
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Author(s) |
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John Fernald, Federal Reserve Bank of San Francisco |
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Date published |
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April 2006 |
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Keywords |
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business cycles, structural change and technology |
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Paper title |
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Growth in Euro Area Labour Quality |
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Series number |
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EABCN/CEPR
Discussion Paper 30/2006 |
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Author(s) |
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Guido Schwerdt, Economics Department, European University Institute and Jarkko Turunen, European Central Bank |
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Date published |
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February 2006 |
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Keywords |
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growth accounting, human capital, labour quality and total factor
productivity |
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Paper title |
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Pricing Behaviour and the Response of Hours to Productivity
Shocks |
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Series number |
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EABCN/CEPR
Discussion Paper 29/2006 |
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Author(s) |
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Domenico J. Marchetti, Research Dept, Bank of Italy and Francesco Nucci,
Facoltà di Scienze Statistiche, Università di Roma "La Sapienza" |
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Date published |
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March 2006 |
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Keywords |
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labour input, price rigidity and productivity shocks |
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Paper title |
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Cyclical Productivity in Europe and the United States, Evaluating
the Evidence on Returns to Scale and Input Utilization |
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Series number |
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EABCN/CEPR
Discussion Paper 28/2006 |
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Author(s) |
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Robert Inklaar, Faculty of Economics, University of Groningen |
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Date published |
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February 2006 |
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Keywords |
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cyclical productivity, input utilizations, instrumental variables and
returns to scale |
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Paper title |
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Forecasting Economic Aggregates by Disaggregates |
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Series number |
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EABCN/CEPR
Discussion Paper 27/2006 |
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Author(s) |
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David F Hendry, Nuffield College, University of Oxford and Kirstin Hubrich, European Central Bank |
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Date published |
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February 2006 |
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Keywords |
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disaggregate information, factor models, forecast model selection,
predictability and VAR |
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Paper title |
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Real-Time Model Uncertainty in the United States: the Fed from
1996-2003 |
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Series number |
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EABCN/CEPR
Discussion Paper 26/2005 |
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Author(s) |
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Brian Ironside, Board of Governors of the Federal Reserve System and Robert J. Tetlow, Senior Economist, Division of Research and Statistics, Federal Reserve Board |
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Date published |
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October 2005 |
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Keywords |
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monetary policy, real-time analysis and uncertainty |
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Paper title |
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How Useful is Bagging in Forecasting Economic Time Series? A
Case Study of US CPI Inflation |
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Series number |
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EABCN/CEPR
Discussion Paper 25/2005 |
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Author(s) |
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Atsushi Inoue, Dept of Agricultural & Resource, North Carolina State University and Lutz Kilian, Department of Economics,
University of Michigan |
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Date published |
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October 2005 |
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Keywords |
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Bayesian model averaging, bootstrap aggregation, factor models,
forecast combination, forecast model selection, pre-testing and shrinkage
estimation |
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Paper title |
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Short-Run Italian GDP Forecasting and Real-Time Data |
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Series number |
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EABCN/CEPR
Discussion Paper 24/2005 |
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Author(s) |
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Roberto Golinelli, Università di Bologna and Giuseppe Parigi, Banca d'Italia |
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Date published |
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October 2005 |
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Keywords |
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consistent vintages, predictions of 'actual' GDP, preliminary GDP
forecasting and real-time data set for Italian GDP |
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Paper title |
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Forecast combination and model averaging using predictive measures |
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Series number |
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EABCN/CEPR
Discussion Paper 23/2005 |
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Author(s) |
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Jana Eklund, Stockholm School of Economics and Sune Karlsson, University of Örebro
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Date published |
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October 2005 |
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Keywords |
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Bayesian model averaging, inflation rate, partial Bayes factor, predictive likelihood and training sample |
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Paper title |
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Model averaging and value-at risk based evaluation of large multi-asset volatility models for risk management |
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Series number |
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EABCN/CEPR
Discussion Paper 22/2005 |
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Author(s) |
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M Hashem Pesaran, University of Cambridge, and Paolo Zaffaroni, Banca d'Italia
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Date published |
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October 2005 |
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Keywords |
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-based evaluations, model averaging and value-at-risk |
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Paper title |
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Data Revisions are not well-behaved |
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Series number |
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EABCN/CEPR
Discussion Paper 21/2005 |
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Author(s) |
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Boragan Aruoba, University of Maryland |
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Date published |
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October 2005 |
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Keywords |
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forecasting, news and noise, NIPA variables and real-time data |
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Paper title |
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Where are we now? Realtime Estimates of the
Macro Economy
Estimates of the Macro Economy |
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Series number |
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EABCN/CEPR
Discussion Paper 20/2005 |
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Author(s) |
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Martin D.D. Evans, Georgetown University |
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Date published |
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October 2005 |
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Keywords |
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forecasting GDP, Kalman filtering and real-time data |
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Paper title |
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Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases |
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Series number |
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EABCN/CEPR
Discussion Paper 19/2005 |
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Author(s) |
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Domenico Giannone, Lucrezia Reichlin and David Small |
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Date published |
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August 2005 |
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Keywords |
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factor model, forecasting, large datasets, monetary policy, news
and real time data |
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Paper title |
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Business Cycle Synchronization in the Enlarged EU |
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Series number |
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EABCN/CEPR
Discussion Paper 18/2005 |
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Author(s) |
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Zsolt Darvas and György Szapáry |
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Date published |
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August 2005 |
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Keywords |
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business cycle synchronization, consumption-correlation puzzle,
EMU, new EU members and OCA endogeneity |
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Paper title |
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Inflation Scares and Forecast-based Monetary Policy |
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Series number |
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EABCN/CEPR
Discussion Paper 17/2005 |
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Author(s) |
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Athanasios Orphanides and John C Williams |
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Date published |
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January 2005 |
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Keywords |
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inflation forecasts, learning, policy rules and rational expectations |
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Paper title |
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On the Fit and Forecasting Performance of new Keynesian Models |
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Series number |
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EABCN/CEPR
Discussion Paper 16/2005 |
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Author(s) |
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Marco Del Negro, Frank Schorfheide, Frank Smets and Rafael Wouters |
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Date published |
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January 2005 |
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Keywords |
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Bayesian analysis, DSGE models, model evaluation and vector autoregression |
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Paper title |
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Macroeconomic Asymmetry in the European Union: the Difference between New and Old Members |
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Series number |
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EABCN/CEPR
Discussion Paper 15/2005 |
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Author(s) |
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Yuliya Demyanyk and Vadym Volosovych |
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Date published |
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January 2005 |
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Keywords |
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asymmetry of GDP, consumption insurance, EU enlargement and risk sharing |
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Paper title |
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Economic Fluctuations in Central and Eastern Europe: the Facts |
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Series number |
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EABCN/CEPR
Discussion Paper 14/2005 |
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Author(s) |
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Peter Benczur and Attila Ratfai |
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Date published |
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January 2005 |
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Keywords |
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business cycle facts and Central and Eastern Europe |
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Paper title |
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Granger Causality of the Inflation-growth Mirror in Accession Countries |
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Series number |
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EABCN/CEPR
Discussion Paper 13/2005 |
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Author(s) |
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Max Gillman and Anton Nakov |
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Date published |
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January 2005 |
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Keywords |
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Granger causality, growth, inflation, structural breaks, transition, VAR and velocity |
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Paper title |
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Exchange Rate Volatility and Labour Markets in the CEE Countries |
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Series number |
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EABCN/CEPR
Discussion Paper 12/2004 |
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Author(s) |
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Ansgar Belke, Leo Kaas and Ralph Setzer |
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Date published |
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December 2004 |
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Keywords |
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Central and Eastern Europe, currency union, euroization, echange rate variability and job creation |
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Paper title |
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Convergence and Cycles in the Euro Zone |
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Series number |
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EABCN/CEPR
Discussion Paper 11/2004 |
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Author(s) |
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Vasco M Carvalho and Andrew Harvey |
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Date published |
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Novemver 2004 |
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Keywords |
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balanced growth, error correction mechanism, Kalman filter, signal extraction, stochastic trend and unobserved components |
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Paper title |
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The international business cycle in a changing world: volatikity and the propagation of shocks in the G7 |
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Series number |
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EABCN/CEPR
Discussion Paper 10/2004 |
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Author(s) |
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Michael J Artis, Denise Osborn and Pedro J Perez |
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Date published |
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October 2004 |
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Keywords |
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European integration, international business cycles, time variation and volatility |
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Paper title |
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Model-based clustering of multiple time series |
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Series number |
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EABCN/CEPR
Discussion Paper 9/2004 |
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Author(s) |
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Sylvia Fruwirth-Schnatter and Sylvia Kaufmann |
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Date published |
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September 2004 |
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Keywords |
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clustering, Markov chain Monte Carlo, Markov switching, mixture modelling and panel data |
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Paper title |
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What does a technology shock do? A VAR analysis with model-based sign restrictions |
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Series number |
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EABCN/CEPR
Discussion Paper 8/2004 |
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Author(s) |
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Luca Dedola, ECB and Stephano Neri,Banca d'Italia |
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Date published |
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September 2004 |
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Keywords |
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Bayesian VAR methods, DSGE models, impulse responses and technology shocks |
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Paper title |
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Small sample confidence intervals for multivariate impulse response functions at long horizons |
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Series number |
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EABCN/CEPR
Discussion Paper 7/2004 |
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Author(s) |
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Elena Pesavento and Barbara Rossi |
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Date published |
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September 2004 |
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Keywords |
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impulse response functions, local to unity asymptotics, persistence and VARs |
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Paper title |
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Has the transmission mechanism of European moenetary policy changed in the run-up to EMU? |
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Series number |
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EABCN/CEPR
Discussion Paper 6/2004 |
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Author(s) |
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Matteo Ciccarelli and Allessandro Rebucci |
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Date published |
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September 2004 |
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Keywords |
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Bayesian estimation, European monetary policy, Gibbs sampling, time-varying coefficient model and transmission mechanism |
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Paper title |
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Similarities and Convergence in G-7 Cycles |
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Series number |
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EABCN/CEPR
Discussion Paper 5/2004 |
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Author(s) |
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Fabio Canova, Matteo Ciccarelli and Eva Ortega |
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Date published |
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September 2004 |
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Keywords |
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Bayesian methods, business cycle, G7, indicators and panel data |
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Paper title |
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Interpolation and Backdating with A Large Information Set |
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Series number |
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EABCN/CEPR
Discussion Paper 4/2004 |
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Author(s) |
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Elena Angelini, Jerome Henry and Massimiliano Marcellino |
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Date published |
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October 2004 |
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Keywords |
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factor model, interpolation, Kalman filter and spline |
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Paper title |
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Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model |
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Series number |
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EABCN/CEPR
Discussion Paper 3/2004 |
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Author(s) |
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Fabio Busetti, Banca d'Italia and CEPR |
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Date published |
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May 2004 |
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Keywords |
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Bank of Italy quarterly economic model, macroeconomic forecasting and preliminary data |
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Paper title |
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Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects |
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Series number |
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EABCN/CEPR
Discussion Paper 2/2004 |
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Author(s) |
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Alain Monfort, Center for Research in Economics and Statistics (CREST), Jean-Paul Renne, Ecole Polytechnique, Rasmus Rüffer, European Central Bank (ECB), Giovanni Vitale, European Central Bank (ECB) |
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Date published |
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November 2003 |
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Keywords |
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business cycles synchronization, dynamic factor and Kalman filter |
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Paper title |
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What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions |
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Series number |
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EABCN/CEPR
Discussion Paper 1/2004 |
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Author(s) |
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Gert Peersman, Bank of England |
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Date published |
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October 2003 |
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Keywords |
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business cycles and vector autoregressions |
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