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Improving Model-Based Near-Term GDP Forecasts by Subjective Forecasts: A Real-Time Exercise for the G7 Countries 通过主观预测改进基于模型的近期GDP预测:G7国家的实时实践

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2016-03-10 DOI: 10.2139/ssrn.2746342

W. Jansen, Jasper de Winter

引用次数: 5

What If Brazil Hadn't Floated the Real in 1999? 如果巴西1999年没有让雷亚尔浮动会怎样?

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2015-11-01 DOI: 10.2139/ssrn.2746239

C. Carvalho, A. D. Vilela

{"title":"What If Brazil Hadn't Floated the Real in 1999?","authors":"C. Carvalho, A. D. Vilela","doi":"10.2139/ssrn.2746239","DOIUrl":"https://doi.org/10.2139/ssrn.2746239","url":null,"abstract":"The English version of this paper can be found at: http://ssrn.com/abstract=2746239Portuguese Abstract: Estimamos um modelo dinâmico, estocastico, de equilibrio geral para a economia brasileira, levando em conta explicitamente a transicao do sistema de bandas cambiais para o regime de metas para a inflacao com câmbio flutuante, ocorrida em 1999. O modelo estimado produz dinâmicas bastante distintas sob os dois regimes monetarios. Construimos, entao, algumas historias contrafactuais da transicao entres os dois regimes, utilizando as series de choques estruturais estimados. Nossos resultados sugerem que a manutencao das bandas cambiais teria sido praticamente inviavel, na medida em que a taxa de juros teria que ter permanecido em niveis extremamente elevados por varios trimestres e a atividade economica teria contraido fortemente. Acelerar o ritmo de desvalorizacao da taxa de câmbio apos a Crise da Asia teria produzido taxas de inflacao e de juros maiores e atividade economica um pouco mais fraca. Por ultimo, o modelo sugere que o primeiro semestre de 1998 pode ter oferecido uma janela de oportunidade para uma transicao suave entre os dois regimes monetarios.English Abstract: We estimate a dynamic, stochastic, general equilibrium model of the Brazilian economy taking into account the transition from a currency peg to inflation targeting that took place in 1999. The estimated model exhibits quite different dynamics under the two monetary regimes. We use it to produce counterfactual histories of the transition from one regime to another, given the estimated history of structural shocks. Our results suggest that maintaining the currency peg would have been too costly, as interest rates would have had to remain at extremely high levels for several quarters, and GDP would have collapsed. Accelerating the pace of nominal exchange rate devaluations after the Asian Crisis would have lead to higher inflation and interest rates, and slightly lower GDP. Finally, the first half of 1998 arguably provided a window of opportunity for a smooth transition between monetary regimes.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"682 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116109322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Construction of Economic Indicators Using Internet Searches 利用互联网搜索构建经济指标

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2015-10-24 DOI: 10.2139/ssrn.2679256

Mioara Popescu

引用次数: 2

Evaluating the Efficiency of FOMC's New Economic Projections 评估联邦公开市场委员会新经济预测的效率

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2015-09-14 DOI: 10.2139/ssrn.2393665

Natsuki Arai

引用次数: 17

The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts 宏观预测中资产价格泡沫的实时预测内容

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2015-07-01 DOI: 10.2139/ssrn.2639135

Benjamin Beckers

引用次数: 3

Has the Publication of Minutes Helped Markets to Predict the Monetary Policy Decisions of the Bank of England's MPC? 会议纪要的公布是否有助于市场预测英国央行货币政策委员会的货币政策决定?

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2015-06-22 DOI: 10.2139/ssrn.2621604

M. El-Shagi, Alexander Jung

引用次数: 5

Leading Indicators of Financial Stress: New Evidence 金融压力的领先指标:新证据

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2015-06-09 DOI: 10.2139/ssrn.2616628

Bořek Vašíček, Diana Žigraiová, M. Hoeberichts, R. Vermeulen, Kateřina Šmídková, J. de Haan

引用次数: 40

Inflation, Debt and the Zero Lower Bound 通胀、债务和零利率下限

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2014-10-23 DOI: 10.2139/ssrn.2584492

S. Neri, A. Notarpietro

引用次数: 26

A Finite Set of Equilibria for the Indeterminacy of Linear Rational Expectations Models 线性理性期望模型不确定性的有限均衡集

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2014-07-23 DOI: 10.2139/ssrn.2470562

Jean-Bernard Chatelain, K. Ralf

引用次数: 3

Inflation, Unemployment, and Labour Force: Phillips Curves and Long-Term Projections for Austria 通货膨胀、失业和劳动力:奥地利的菲利普斯曲线和长期预测

ERN: Forecasting & Simulation (Monetary) (Topic) Pub Date : 2013-08-30 DOI: 10.2139/ssrn.2324110

I. Kitov

{"title":"Inflation, Unemployment, and Labour Force: Phillips Curves and Long-Term Projections for Austria","authors":"I. Kitov","doi":"10.2139/ssrn.2324110","DOIUrl":"https://doi.org/10.2139/ssrn.2324110","url":null,"abstract":"We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this macroeconomic variable was first tested as a predictor of inflation and unemployment in 2005 with the involved time series ended in 2003. Here we extend all series by nine new readings available since 2003 and re-estimate the previously estimated relationships between inflation, unemployment, and labour force. As before, a structural break is allowed in these relationships, which is related to numerous changes in definitions in the 1980s. The break year is estimated together with other model parameters by the Boundary Element Method with the LSQ fitting between observed and predicted integral curves. The precision of inflation prediction, as described by the root-mean-square (forecasting) error is by 20% to 70% better than that estimated by AR(1) model. The estimates of model forecasting error are available for those time series where the change in labour force leads by one (the GDP deflator) or two (CPI) years. For the whole period between 1965 and 2012 as well as for the intervals before and after the structural break (1986 for all inflation models) separately, our model is superior to the na\"ive forecasting, which in turn, is not worse than any other forecasting model. The level of statistical reliability and the predictive power of the link between inflation and labour force imply that the National Bank of Austria does not control inflation and unemployment beyond revisions to definitions. The labour force projection provided by Statistic Austria allows foreseeing inflation at a forty-year horizon: the rate of CPI inflation will hover around 1.3% and the GDP deflator will likely sink below zero between 2018 and 2034.","PeriodicalId":203235,"journal":{"name":"ERN: Forecasting & Simulation (Monetary) (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121043691","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1