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|a 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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McAdam, Peter, Warne, Anders |
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McAdam, Peter, Warne, Anders |
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McAdam, Peter |
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p m pm, a w aw |
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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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Europäische Zentralbank: Working paper series |
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Frankfurt am Main, Germany, European Central Bank, [2018] |
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Frankfurt am Main, Germany: European Central Bank, [2018] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Euro area real-time density forecasting with financial or labor market frictions |
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(108090442)no 2140 (April 2018) |
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McAdam, Peter VerfasserIn (DE-588)171483618 (DE-627)061689270 (DE-576)132274426 aut, Euro area real-time density forecasting with financial or labor market frictions Peter McAdam, Anders Warne, Frankfurt am Main, Germany European Central Bank [2018], 1 Online-Ressource (circa 101 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2140 (April 2018), 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., Warne, Anders 1961- VerfasserIn (DE-588)170717372 (DE-627)060842784 (DE-576)131575996 aut, Europäische Zentralbank Working paper series no 2140 (April 2018) 214000 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, http://hdl.handle.net/10419/179355 Resolving-System kostenfrei Volltext, https://doi.org/10.2866/742803 Resolving-System kostenfrei Volltext, http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2140.en.pdf Verlag kostenfrei Volltext, https://doi.org/10.2866/742803 LFER, LFER 2019-05-29T00:00:00Z |
spellingShingle |
McAdam, Peter, Warne, Anders, Euro area real-time density forecasting with financial or labor market frictions, Europäische Zentralbank, Working paper series, no 2140 (April 2018), 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. |
title |
Euro area real-time density forecasting with financial or labor market frictions |
title_auth |
Euro area real-time density forecasting with financial or labor market frictions |
title_full |
Euro area real-time density forecasting with financial or labor market frictions Peter McAdam, Anders Warne |
title_fullStr |
Euro area real-time density forecasting with financial or labor market frictions Peter McAdam, Anders Warne |
title_full_unstemmed |
Euro area real-time density forecasting with financial or labor market frictions Peter McAdam, Anders Warne |
title_in_hierarchy |
no 2140 (April 2018). Euro area real-time density forecasting with financial or labor market frictions ([2018]) |
title_short |
Euro area real-time density forecasting with financial or labor market frictions |
title_sort |
euro area real time density forecasting with financial or labor market frictions |
title_unstemmed |
Euro area real-time density forecasting with financial or labor market frictions |
url |
http://hdl.handle.net/10419/179355, https://doi.org/10.2866/742803, http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2140.en.pdf |