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Euro area real-time density forecasting with financial or labor market frictions
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| Authors and Corporations: | , |
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| Title: | Euro area real-time density forecasting with financial or labor market frictions/ Peter McAdam, Anders Warne |
| Type of Resource: | E-Book |
| Language: | English |
| published: |
Frankfurt am Main, Germany
European Central Bank
[2018]
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| Series: |
Europäische Zentralbank: Working paper series ; no 2140 (April 2018)
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| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Abstract: | We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a measure of the external finance premium. The second allows for the extensive labor-market margin and adds the unemployment rate to the observables. The main question we address is if these extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation forecasts and the period around the Great Recession. The labor market extension improves the medium to longer-term real GDP growth and shorter to medium-term inflation forecasts weakly compared with the benchmark model. |
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| Physical Description: | 1 Online-Ressource (circa 101 Seiten); Illustrationen |
| ISBN: |
9789289932455
9289932457 |
| DOI: | 10.2866/742803 |