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BESS at MNB 2008. november 05. Carlos Thomas: Labor market reform and price stability: an application to the Euro Area
2008. október 7. Bodnár Katalin: Exchange rate exposure of Hungarian enterprises - results of a survey
BESS at MNB 2008. szeptember 30 Juan Carlos Conesa: Generational Policy and the Measurement of Tax Incidence
BESS at MNB 2008. szeptember 24. Marc Flandreau: Bonds and Brands: Foundation of Sovereign Debt Markets
BESS at MNB 2008. szptember 17. John Bluedorn: Heterogeneous Bank Lending Responses to Monetary Policy: New Evidence from a Real-Time Identification
BESS at MNB 2008. június 25. Christian Julliard: Can Rare Events Explain the Equity Premium Puzzle?
BESS at MNB 2008. június 18. Klaus Adam: Monetary Policy and the Great Moderation
BESS at MNB 2008. június 9. Michael Gordy:The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt
TÖRÖLVE! BESS at MNB 2008. június 4. Pedro Teles: Unique Monetary Equilibria with Monetary Policy Rules
BESS at MNB 2008. május 28. Martin Gervais: First-Time Home Buyers and Residential Investment Volatility
BESS at MNB 2008. május 21. Péter Benczúr: The Elasticity of Taxable Income: Estimates and Flat Tax Predictions using the Hungarian Tax Changes in 2005
BESS at MNB 2008. május 14. Michele Boldrin Business cycles and asset pricing
BESS at MNB 2008. április 9. Raphael Auer: Trade with Low Income Countries and US Industry and Inflation
BESS at MNB 2008. április 3. Péter Gábriel – Ádám Reiff: Price Setting in Hungary: a Store-Level Analysis
BESS at MNB 2008. március 21 Evi Pappa: To Target Inflation or Not: A Conditional Analysis
BESS at MNB 2008. március 20. Fabio Canova: Measurement with some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
BESS at MNB 2008. március 12. Michael Krause: Inflation Dynamics and Search Frictions
BESS at MNB 2008. február 14. Katrin Rabitsch: Capital liberalization and the U.S. external imbalance
BESS at MNB 2008. február 5 José Dorich: The Welfare Losses of Price Rigidities
BESS at MNB 2008. január 29. Alain Gabler:Sector-specific Markup Fluctuations and the Business Cycle
BESS at MNB 2008. január 25. Edgar Preugschat: Unionization Rate, Organizing, and Firm Turnover
BESS at MNB 2008. január 24. Alessandro Notarpietro: Credit Frictions and Household Debt in the U.S. Business Cyle: A Bayesian Approach
Bess at MNB 2008. január 23. Günter Coenen: Conditional versus Unconditional Forecasting with the New Area-Wide Model of the Euro Area
BESS at MNB 2008. január 22. Christina Felfe: Returning to Work – Mothers’ Willingness to Pay for Amenities
BESS at MNB 2008. január 16. Tor Jacobson:Aggregate Shocks and Firm Default Risk
BESS at MNB October 29, 2008 Martin Gervais: Why Has Homeownership Fallen Among the Young?
BESS at MNB 2008. december 3. David Domeij: The Missing Swedish Skill Premium: Sweden versus the United States 1970-2002
BESS at MNB 2008. október 22. Ester Faia: Optimal Monetary Policy with Credit Augmented Liquidity cicles
BESS at MNB 2008 November 19. Gianluca Benigno: Optimal Policy with Occasionally Binding Credit Constraints
BESS at MNB 2008. november 12. Harald Fadinger: Productivity Differences in an Interdependent World
BESS at MNB 2008 október 8: Paul De Grauwe: Animal Spirits and Monetary Policy
BESS at MNB 2008. október 15. David Andolfatto: Essential Interest-Bearing Money

Bess at MNB 2008. január 23. Günter Coenen: Conditional versus Unconditional Forecasting with the New Area-Wide Model of the Euro Area

nyomtatás

Az előadás 15 órakor kezdődik a Látogatóközpontban, angol nyelven.

Abstract

In this paper we examine conditional versus unconditional forecasting with a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the context of the macroeconomic projection exercises at the European Central Bank (ECB). We first analyse the out-of-sample forecasting properties of the estimated model from 1999 to 2005 by comparing its unconditional forecasts with those obtained from a Bayesian VAR with a steady-state prior as well as na¨ive forecasts. Model-based forecasts that are conditioned on differing information sets are then studied and evaluated through, for instance, modesty statistics to assess the relevance of the Lucas critique. In contrast to other studies in the literature, we condition on a fairly large set of policy-relevant variables. Furthermore, we consider conditioning information that partially, albeit not fully determine the future path of the observed variables, but which restrict the channels through which they can be affected.

JEL Classification System: C11, C32, E32, E37

Keywords: DSGE modelling, open-economy macroeconomics, Bayesian inference, forecasting, euro area

Tanulmány

BESS at MNB 2008. november 05. Carlos Thomas: Labor market reform and price stability: an application to the Euro Area
2008. október 7. Bodnár Katalin: Exchange rate exposure of Hungarian enterprises - results of a survey
BESS at MNB 2008. szeptember 30 Juan Carlos Conesa: Generational Policy and the Measurement of Tax Incidence
BESS at MNB 2008. szeptember 24. Marc Flandreau: Bonds and Brands: Foundation of Sovereign Debt Markets
BESS at MNB 2008. szptember 17. John Bluedorn: Heterogeneous Bank Lending Responses to Monetary Policy: New Evidence from a Real-Time Identification
BESS at MNB 2008. június 25. Christian Julliard: Can Rare Events Explain the Equity Premium Puzzle?
BESS at MNB 2008. június 18. Klaus Adam: Monetary Policy and the Great Moderation
BESS at MNB 2008. június 9. Michael Gordy:The Bank as Grim Reaper: Debt Composition and Recoveries on Defaulted Debt
TÖRÖLVE! BESS at MNB 2008. június 4. Pedro Teles: Unique Monetary Equilibria with Monetary Policy Rules
BESS at MNB 2008. május 28. Martin Gervais: First-Time Home Buyers and Residential Investment Volatility
BESS at MNB 2008. május 21. Péter Benczúr: The Elasticity of Taxable Income: Estimates and Flat Tax Predictions using the Hungarian Tax Changes in 2005
BESS at MNB 2008. május 14. Michele Boldrin Business cycles and asset pricing
BESS at MNB 2008. április 9. Raphael Auer: Trade with Low Income Countries and US Industry and Inflation
BESS at MNB 2008. április 3. Péter Gábriel – Ádám Reiff: Price Setting in Hungary: a Store-Level Analysis
BESS at MNB 2008. március 21 Evi Pappa: To Target Inflation or Not: A Conditional Analysis
BESS at MNB 2008. március 20. Fabio Canova: Measurement with some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
BESS at MNB 2008. március 12. Michael Krause: Inflation Dynamics and Search Frictions
BESS at MNB 2008. február 14. Katrin Rabitsch: Capital liberalization and the U.S. external imbalance
BESS at MNB 2008. február 5 José Dorich: The Welfare Losses of Price Rigidities
BESS at MNB 2008. január 29. Alain Gabler:Sector-specific Markup Fluctuations and the Business Cycle
BESS at MNB 2008. január 25. Edgar Preugschat: Unionization Rate, Organizing, and Firm Turnover
BESS at MNB 2008. január 24. Alessandro Notarpietro: Credit Frictions and Household Debt in the U.S. Business Cyle: A Bayesian Approach
Bess at MNB 2008. január 23. Günter Coenen: Conditional versus Unconditional Forecasting with the New Area-Wide Model of the Euro Area
BESS at MNB 2008. január 22. Christina Felfe: Returning to Work – Mothers’ Willingness to Pay for Amenities
BESS at MNB 2008. január 16. Tor Jacobson:Aggregate Shocks and Firm Default Risk
BESS at MNB October 29, 2008 Martin Gervais: Why Has Homeownership Fallen Among the Young?
BESS at MNB 2008. december 3. David Domeij: The Missing Swedish Skill Premium: Sweden versus the United States 1970-2002
BESS at MNB 2008. október 22. Ester Faia: Optimal Monetary Policy with Credit Augmented Liquidity cicles
BESS at MNB 2008 November 19. Gianluca Benigno: Optimal Policy with Occasionally Binding Credit Constraints
BESS at MNB 2008. november 12. Harald Fadinger: Productivity Differences in an Interdependent World
BESS at MNB 2008 október 8: Paul De Grauwe: Animal Spirits and Monetary Policy
BESS at MNB 2008. október 15. David Andolfatto: Essential Interest-Bearing Money