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  1. A mixed frequency BVAR for the euro area labour market
    Autor*in: Consolo, Agostino; Foroni, Claudia; Martínez Hernández, Catalina
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We introduce a Bayesian Mixed-Frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts... mehr

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    We introduce a Bayesian Mixed-Frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii) enhancing the economic interpretation of the main movements in the labour market. We find satisfactory results in terms of forecasting, especially when looking at quarterly variables, such as employment growth and the job finding rate. Furthermore, we look into the shocks that drove the labour market and macroeconomic dynamics from 2002 to early 2020, with a first insight also on the COVID-19 recession. While domestic and foreign demand shocks were the main drivers during the Global Financial Crisis, aggregate supply conditions and labour supply factors reflecting the degree of lockdown-related restrictions have been important drivers of key labour market variables during the pandemic.

     
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    ISBN: 9789289948548
    Weitere Identifier:
    hdl: 10419/246178
    Schriftenreihe: Working paper series / European Central Bank ; no 2601 (October 2021)
    Schlagworte: Labour market; Mixed Frequency Data; Bayesian VAR
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  2. Forecasting the Covid-19 recession and recovery
    lessons from the financial crisis
    Autor*in: Foroni, Claudia; Marcellino, Massimiliano; Stevanović, Dalibor
    Erschienen: [2020]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various... mehr

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    We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across different models, extending the model specification by adding MA terms, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track by a specific form of intercept correction. Among all these methods, adjusting the original nowcasts and forecasts by an amount similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best results for the US, notwithstanding the different source and characteristics of the financial crisis. In particular, the adjusted growth nowcasts for 2020Q1 get closer to the actual value, and the adjusted forecasts based on alternative indicators become much more similar, all unfortunately indicating a much slower recovery than without adjustment and very persistent negative effects on trend growth. Similar findings emerge also for the other G7 countries.

     
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    ISBN: 9789289943857
    Weitere Identifier:
    hdl: 10419/229082
    Schriftenreihe: Working paper series / European Central Bank ; no 2468 (September 2020)
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  3. Much ado about nothing?
    the shale oil revolution and the global supply curve
    Autor*in: Foroni, Claudia; Stracca, Livio
    Erschienen: [2019]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la... mehr

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    We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing á la Stackelberg. We find that the supply function is atter for the high cost producer, and that the supply function for shale oil producers becomes more responsive to demand shocks when adjustment costs decline. On the empirical side, we apply an instrumental variable approach using estimates of demand-driven oil price changes derived from a standard structural VAR of the oil market. A main finding is that global oil supply is rather vertical, practically all the time. Moreover, for the global oil market as a whole, we do not find evidence of a major shift to a more price elastic supply as a result of the shale oil boom.

     
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    ISBN: 9789289935715
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    hdl: 10419/208343
    Schriftenreihe: Working paper series / European Central Bank ; no 2309 (August 2019)
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  4. The financial accelerator mechanism
    does frequency matter?
    Autor*in: Foroni, Claudia; Gelain, Paolo; Marcellino, Massimiliano
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism a la Bernanke et al. (1999). We find that the financial accelerator can work very differently... mehr

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    We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism a la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the quarterly frequency, i.e. we document its inversion. That is because aggregating monthly data into quarterly leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.

     
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    ISBN: 9789289949705
    Weitere Identifier:
    hdl: 10419/261171
    Schriftenreihe: Working paper series / European Central Bank ; no 2637 (February 2022)
    Schlagworte: DSGE models; financial accelerator; Mixed-frequency data
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  5. Forecasting daily electricity prices with monthly macroeconomic variables
    Autor*in: Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca
    Erschienen: [2019]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models,... mehr

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    We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy for different horizons (from 1 day ahead to 28 days ahead) and by considering different specifications of the models. We find gains around 20% at short horizons and around 10% at long horizons. Therefore, it turns out that the macroeconomic low frequency variables are more important for short horizons than for longer horizons. The benchmark is almost never included in the model confidence set.

     
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    ISBN: 9789289935128
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    hdl: 10419/208284
    Schriftenreihe: Working paper series / European Central Bank ; no 2250 (March 2019)
    Umfang: 1 Online-Ressource (circa 61 Seiten)
  6. Mixed frequency models with MA components
    Autor*in: Foroni, Claudia; Marcellino, Massimiliano; Stevanović, Dalibor
    Erschienen: [13.02.2018]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally... mehr

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    Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility of OLS estimation, but the consequences have never been properly studied in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting application on U.S. macroeconomic variables, the relevance of considering the MA component in mixed-frequency MIDAS and Unrestricted-MIDAS models (MIDASARMA and UMIDAS-ARMA). Specifically, the simulation results indicate that the short-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both simulation and empirical results, MIDAS-ARMA is better than UMIDAS-ARMA.

     
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    ISBN: 9783957294258
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    hdl: 10419/174890
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2018, 02
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  7. Mixed frequency models with MA components
    Autor*in: Foroni, Claudia; Marcellino, Massimiliano; Stevanović, Dalibor
    Erschienen: [2018]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally... mehr

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    Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility of OLS estimation, but the consequences have never been properly studied in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting application on U.S. macroeconomic variables, the relevance of considering the MA component in mixed-frequency MIDAS and Unrestricted-MIDAS models (MIDAS-ARMA and UMIDAS-ARMA). Specifically, the simulation results indicate that the short-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both simulation and empirical results, MIDAS-ARMA is better than UMIDAS-ARMA.

     
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    ISBN: 9789289933117
    Weitere Identifier:
    hdl: 10419/208240
    Schriftenreihe: Working paper series / European Central Bank ; no 2206 (November 2018)
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  8. Density forecasts with MIDAS models
    Autor*in: Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco
    Erschienen: 2014
    Verlag:  Norges Bank, Oslo

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    ISBN: 9788275538183
    Weitere Identifier:
    hdl: 10419/210059
    Schriftenreihe: Working paper / Norges Bank ; 2014,10
    Schlagworte: Prognoseverfahren; Statistische Verteilung; Regressionsanalyse; Frühindikator; USA
    Umfang: Online-Ressource (34 S.)
  9. U-MIDAS: MIDAS regressions with unrestricted lag polynomials
    Autor*in: Foroni, Claudia; Marcellino, Massimiliano; Schumacher, Christian
    Erschienen: 2011
    Verlag:  Dt. Bundesbank, Frankfurt, M.

    Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is... mehr

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is large, distributed lag functions are typically employed to model dynamics avoiding parameter proliferation. In macroeconomic applications, however, differences in sampling frequencies are often small. In such a case, it might not be necessary to employ distributed lag functions. In this paper, we discuss the pros and cons of unrestricted lag polynomials in MIDAS regressions. We derive unrestricted MIDAS regressions (U-MIDAS) from linear high-frequency models, discuss identification issues, and show that their parameters can be estimated by OLS. In Monte Carlo experiments, we compare U-MIDAS to MIDAS with functional distributed lags estimated by NLS. We show that U-MIDAS generally performs better than MIDAS when mixing quarterly and monthly data. On the other hand, with larger differences in sampling frequencies, distributed lag-functions outperform unrestricted polynomials. In an empirical application on out-of-sample nowcasting GDP in the US and the Euro area using monthly predictors, we find a good performance of U-MIDAS for a number of indicators, albeit the results depend on the evaluation sample. We suggest to consider U-MIDAS as a potential alternative to the existing MIDAS approach in particular for mixing monthly and quarterly variables. In practice, the choice between the two approaches should be made on a case-by-case basis, depending on their relative performance. -- Mixed data sampling ; distributed lag polynomals ; time aggregation ; now-casting

     
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    ISBN: 9783865587817
    Weitere Identifier:
    hdl: 10419/55529
    Schriftenreihe: Array ; 35/2011
    Schlagworte: Regressionsanalyse; Stichprobenerhebung; Theorie; Schätzung; Nationaleinkommen; USA; Eurozone
    Umfang: Online-Ressource (PDF-Datei: 47, [6] S., 418 KB)
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  10. A survey of econometric methods for mixed-frequency data
    Autor*in: Foroni, Claudia; Marcellino, Massimiliano
    Erschienen: 2013
    Verlag:  Norges Bank, Oslo

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    ISBN: 9788275537230
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    hdl: 10419/210029
    Schriftenreihe: Working paper / Norges Bank ; 2013,06
    Umfang: Online-Ressource (45 S.)
  11. Using low frequency information for predicting high frequency variables
    Autor*in: Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano
    Erschienen: 2015
    Verlag:  Norges Bank, Oslo

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    ISBN: 9788275538787
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    hdl: 10419/210080
    Schriftenreihe: Working paper / Norges Bank ; 2015,13
    Schlagworte: Prognoseverfahren; VAR-Modell; Monte-Carlo-Simulation; Modellierung
    Umfang: Online-Ressource (41 S.)
  12. Forecasting commodity currencies
    the role of fundamentals with short-lived predictive content
    Autor*in: Foroni, Claudia; Ravazzolo, Francesco; Ribeiro, Pinho J.
    Erschienen: 2015
    Verlag:  Norges Bank, Oslo

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    ISBN: 9788275538794
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    hdl: 10419/210081
    Schriftenreihe: Working paper / Norges Bank ; 2015,14
    Schlagworte: Prognoseverfahren; Rohstoffpreis; Regressionsanalyse; Bayes-Statistik; Modellierung; Mixed Data Sampling (MIDAS)
    Umfang: Online-Ressource (48 S.)
  13. Explaining deviations from Okun's law
    Autor*in: Foroni, Claudia; Furlanetto, Francesco
    Erschienen: [2022]
    Verlag:  Norges Bank, Oslo

    Despite its stability over time, as for any statistical relationship, Okun's law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun's regressions and structural shocks identified using a... mehr

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    Despite its stability over time, as for any statistical relationship, Okun's law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun's regressions and structural shocks identified using a SVAR model by inspecting how unemployment responds to the state of the economy. We show that deviations from Okun's law are a natural and expected outcome once one takes a multi-shock perspective, as long as shocks to automation, labor supply and structural factors in the labor market are taken into account. Our simple recipe for policy makers is that, if a positive deviation from Okun’s law arises, it is likely to be generated by either positive labor supply or automation shocks or by negative structural factors shocks.

     
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    ISBN: 9788283792287
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    hdl: 11250/2997497
    hdl: 10419/264946
    Schriftenreihe: Working paper / Norges Bank ; 2022, 4
    Schlagworte: Okun's law; Labor markets; Business cycle fluctuations; Bayesian VAR
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  14. Explaining deviations from Okun's law
    Autor*in: Foroni, Claudia; Furlanetto, Francesco
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Despite its stability over time, as for any statistical relationship, Okun's law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun's regressions and structural shocks identified with a... mehr

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    Despite its stability over time, as for any statistical relationship, Okun's law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun's regressions and structural shocks identified with a SVAR model by inspecting how unemployment responds to the state of the economy. We show that deviations from Okun's law are a natural and expected outcome once one takes a multi-shock perspective, as long as shocks to automation, labour supply and structural factors in the labour market are taken into account. Our simple recipe for policy makers is that, if a positive deviation from Okun's law arises, it is likely to be generated by either positive labour supply or automation shocks or by negative structural factors shocks.

     
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    ISBN: 9789289952842
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    hdl: 10419/269106
    Schriftenreihe: Working paper series / European Central Bank ; no 2699 (August 2022)
    Schlagworte: Okun’s law; labour markets; Business cycle fluctuations; Bayesian VAR
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  15. Labour at risk
    Autor*in: Botelho, Vasco; Foroni, Claudia; Renzetti, Andrea
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment rate as a... mehr

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    We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment rate as a function of real activity and financial risk factors. We find that the conditional distribution of the changes in the unemployment rate displays time-varying volatility and skewness, with peaks coinciding with the Global Financial Crisis and the COVID-19 pandemic. We take advantage of the multivariate nature of our parametric model to measure stagflation risk defined as the possible joint event of large increases in the unemployment rate and large annual rates of inflation. We find an increasing risk of stagflation for the euro area in 2022 while in the United States stagflation risk increased earlier in 2021 and started decreasing more recently. Notwithstanding the significantly high levels of inflation, stagflation risks have been contained by the resilient performance of the labour market in both areas. The degree of labour at risk is therefore important for the assessment of the inflation-unemployment trade-off.

     
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    ISBN: 9789289961257
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    hdl: 10419/278672
    Schriftenreihe: Working paper series / European Central Bank ; no 2840
    Schlagworte: Unemployment risk; Stagflation risk; Labour Market; Bayesian Econometrics
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  16. Mixed frequency structural models
    identification, estimation, and policy analysis
    Autor*in: Foroni, Claudia
    Erschienen: 2013
    Verlag:  Norges Bank, Oslo

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    ISBN: 9788275537605
    Weitere Identifier:
    hdl: 10419/210038
    Schriftenreihe: Working paper / Norges Bank ; 2013,15
    Schlagworte: DSGE-Modell; Zeitreihenanalyse; Aggregation; Konjunktur; VAR-Modell
    Umfang: Online-Ressource (46 S.)
  17. Mixed frequency structural VARs
    Autor*in: Foroni, Claudia; Marcellino, Massimiliano
    Erschienen: 2014
    Verlag:  Norges Bank, Oslo

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    DS 673
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9788275537841
    Weitere Identifier:
    hdl: 10419/210050
    Schriftenreihe: Working paper / Norges Bank ; 2014,01
    Schlagworte: VAR-Modell; Bayes-Statistik; Prognoseverfahren; Mixed Data Sampling (MIDAS)
    Umfang: Online-Ressource (27 S.)
  18. Labour supply factors and economic fluctuations
    Autor*in: Foroni, Claudia; Furlanetto, Francesco; Lepetit, Antoinec
    Erschienen: 2015
    Verlag:  Norges Bank, Oslo

    Zugang:
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 673
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9788275538640
    Weitere Identifier:
    hdl: 10419/210074
    Schriftenreihe: Working paper / Norges Bank ; 2015,07
    Schlagworte: Neoklassische Synthese; Arbeitsangebot; Schock; Erwerbstätigkeit; VAR-Modell; USA
    Umfang: Online-Ressource (50 S.)