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Members Research Papers

Data Revisions Are Not Well-Behaved

JEL codes: 
C22, C53, C82
Keywords: 
forecasting, news and noise, NIPA variables, real-time data
Version Date: 
Sep 2005
Abstract: 

We document the empirical properties of revisions to major macroeconomic variables in the United States. Our findings suggest that they do not satisfy simple desirable statistical properties. In particular, we find that these revisions do not have a zero mean, which indicates that the initial announcements by statistical agencies are biased.

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Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management

JEL codes: 
C32, C52, C53, G11
Keywords: 
decision-based evaluations, model averaging, value-at-risk
Version Date: 
Sep 2005
Abstract: 

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management.

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Short-Run Italian GDP Forecasting and Real-Time Data

JEL codes: 
C22, C53, C82, E10
Keywords: 
consistent vintages, predictions of 'actual' GDP, preliminary GDP forecasting, real-time data set for Italian GDP
Version Date: 
Sep 2005
Author/s: 
Giuseppe Parigi, Roberto Golinelli
Abstract: 

National accounts statistics undergo a process of revisions over time because of the accumulation of information and, less frequently, of deeper changes, as new definitions, new methodologies etc. are implemented.

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Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

JEL codes: 
C33, C53, E52
Keywords: 
Factor model, forecasting, monetary policy, real time data, large datasets, news
Version Date: 
Jul 2005
Author/s: 
Domenico Giannone, Lucrezia Reichlin
Abstract: 

This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving conditioning information set.

Business Cycle Sychronization in the Enlarged EU

JEL codes: 
E32, F41
Keywords: 
business cycle synchronization, consumption-correlation puzzle, EMU, new EU members, OCA endogeneity
Version Date: 
Jul 2005
Abstract: 

This paper analyses the synchronization of business cycles between new and old EU members using various measures. The main findings are that Hungary, Poland and Slovenia have achieved a high degree of synchronization for GDP, industry and exports, but not for consumption and services. The other CEECs have achieved less or no synchronization.

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Inflation Scares and Forecast-Based Monetary Policy

JEL codes: 
E52
Keywords: 
inflation forecasts, learning, policy rules, rational expectations
Version Date: 
Dec 2004
Author/s: 
Athanasios Orphanides
Abstract: 

Central bankers frequently emphasize the critical importance of anchoring private inflation expectations for successful monetary policy and macroeconomic stabilization. In most monetary policy models, however, expectations are already anchored through the assumption of rational expectations and perfect knowledge of the economy.

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Granger Causality of the Inflation-Growth Mirror in Accession Countries

JEL codes: 
C22, E31, O42
Keywords: 
Granger causality, growth, inflation, structural breaks, transition, VAR, velocity
Version Date: 
Dec 2004
Author/s: 
Anton Nakov, Max Gillman
Abstract: 

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate decrease.

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Economic Fluctuations in Central and Eastern Europe: The Facts

JEL codes: 
E32
Keywords: 
business cycle facts, Central and Eastern Europe
Version Date: 
Dec 2004
Author/s: 
Attila Rátfai
Abstract: 

We carry out a detailed analysis of quarterly frequency dynamics in macroeconomic aggregates in twelve countries of Central and Eastern Europe. The facts we document include the variability and persistence in and the co-movement among output, and other major real and nominal variables. We find that consumption is highly volatile and government spending is procyclical.

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Macroeconomic Asymmetry in the European Union: The Difference Between New and Old Members

Keywords: 
Factor model, forecasting, monetary policy, real time data, large datasets, news, EU enlargement, asymmetry of GDP, risk sharing, consumption insurance
Version Date: 
Dec 2004
Author/s: 
Yuliya Demyanyk
Abstract: 

We study the degree of output and consumption asymmetry for the ten new and fifteen original European Union members during the period 1994–2001. We establish basic stylized facts about macroeconomic asymmetry from correlations of GDP and consumption growth rates with corresponding aggregates.

On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Keywords: 
Bayesian Analysis, DSGE models, model evaluation, vector autoregression
Version Date: 
Dec 2004
Author/s: 
Marco Del Negro
Abstract: 

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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