The Role of Financial Variables in Predicting Economic Activity in the Euro Area.

The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal set of...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lombardi, Marco
Otros Autores: Espinoza, Raphael A., Fornari, Fabio
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington : International Monetary Fund, 2009.
Colección:IMF Working Papers.
Temas:
Business cycles > Europe.
Business cycles > United States.
Economic indicators > Europe.
Economic indicators > United States.
Cycles économiques > Europe.
Cycles économiques > États-Unis.
Indicateurs économiques > Europe.
Indicateurs économiques > États-Unis.
Business cycles
Economic indicators
Europe
United States
Acceso en línea:Texto completo
Tabla de Contenidos:
  • I. Introduction; II. The VAR models; A. Data; B. Specifications; III. Characterizing the Models; A. IRFs and Pre-1985 and Post-1985 Evidence; B. Linkages and the Role of Financial Shocks; IV. Out-of-Sample Evidence; A. 'Unconditional' Forecast Evaluation; B. Conditional Forecast Evaluation; C. Additional Explanatory Factors; V. Conditional Evaluation; A. Rolling RMSEs; B. Conditional Predictive Ability Test; VI. Conclusions; References; Figures ; 1. Rates of Growth of Real GDP in the Three Economic Areas (quarter-on-quarter); 2. Impulse Response Functions from a Trivariate VAR.
  • 3. Impulse Response Function from a 9-Variable VAR4. Impulse Response Function to GDP Shocks Across Sub-Samples; 5. Impulse Response Functions Across Sub-Samples; 6. Forecast Error Variance Decomposition for the Euro Area GDP; 7. Historical Decomposition; 8. RMSE from Competing Classes of Models; 9. RMSE from Competing Classes of Models (ctd.); 10. GW Test for Conditional Predictive
  • Random Walk Model; 11. GW Test for Conditional Predictive Ability
  • 2 GDP VAR; 12. GW Test for Conditional Predictive Ability
  • 3 GDP VAR; Tables ; 1. Variance Decomposition of the GDP in the Three Areas.
  • 2. R2 of a Regression of Elog GDP on its Counterfactual3. Unconditional Out-of-Sample RMSE; 4. Out-of-Sample RMSE; 5. Out-of-Sample RMSE; 6. Conditional Choice Between Models at Selected Horizons.

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