Forecasting trend output in the Euro area

Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates

European Monetary Union (EMU) member countries’ forecasts are often combined to obtain the forecasts of the Euro area macroeconomic aggregate variables. The aggregation weights which are used to produce the aggregates are often considered as combination weights. This paper investigates whether using different combination weights instead of the usual aggregation weights can help to provide more ...

Forecasting Euro-area Industrial Production Using (mostly)\ Business Surveys Data

In this paper we propose a relatively simple procedure to predict Euro-zone industrial production using mostly data derived from the business surveys of the three major economies within the European Monetary Union (France, Germany, and Italy). The basic idea is that of estimating business cyclical indicators to be used as predictors for the industrial production in France and Germany; as far as...

Forecasting Euro Area Macroeconomic Variables with Bayesian Adaptive Elastic Net

I use the adaptive elastic net in a Bayesian framework and test its forecasting performance against lasso, adaptive lasso and elastic net (all used in a Bayesian framework) in a series of simulations, as well as in an empirical exercise for macroeconomic Euro area data. The results suggest that elastic net is the best model among the four Bayesian methods considered. Adaptive lasso, on the othe...

The Proposed Mathematical Models For Decision- Making And Forecasting On Euro- Yen In Foreign Exchange Market

The Liquidity Effect in the Euro Area

This paper presents an analysis of the liquidity effect in the euro area – the link between the availability of aggregate liquidity and the interbank overnight rate. Applying a set of assumptions which also lead to the “martingale property” of the overnight rate, a model linking the latter to the expected aggregate liquidity conditions is formulated and calibrated. Different assumptions for how...