Pub Date : 2008-02-01DOI: 10.1111/j.1467-9442.2008.00547.x
J. Gorter, J. de Haan
We estimate Taylor rules for the euro area using Consensus Economics data for expected inflation and output growth, and compare these estimates with more conventional specifications in which actual outcomes are used. We find that the ECB takes expected inflation and expected output growth into account in setting interest rates, while in the more conventional model specification, the coefficient of realized inflation is not significantly different from zero.
{"title":"Taylor Rules for the ECB Using Expectations Data","authors":"J. Gorter, J. de Haan","doi":"10.1111/j.1467-9442.2008.00547.x","DOIUrl":"https://doi.org/10.1111/j.1467-9442.2008.00547.x","url":null,"abstract":"We estimate Taylor rules for the euro area using Consensus Economics data for expected inflation and output growth, and compare these estimates with more conventional specifications in which actual outcomes are used. We find that the ECB takes expected inflation and expected output growth into account in setting interest rates, while in the more conventional model specification, the coefficient of realized inflation is not significantly different from zero.","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132220882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper focuses on the determination of inflation expectations. The following two questions are examined: How much do inflation expectations reflect different economic and institutional regime shifts and in which way do inflation expectations adjust to past inflation?The basic idea in the analysis is an assumption that inflation expectations do not mechanically reflect past inflation as may econometric specification de facto assume but rather they depend on the relevant economic regime.Also the adjustment of expectations to past inflation is different in different inflation regimes.The regime analysis is based on panel data from EMU/EU countries for the period 1973- 2004, while the inflation adjustment analysis mainly uses the Kalman filter technique for individual countries for the same period.Expectations (forecasts) are derived from OECD data.Empirical results strongly favour the regime-sensitivity hypothesis and provide an explanation for the poor performance of conventional estimation procedures in the context of Phillips curves. Key words: inflation expectations, Kalman filter, stability JEL classification numbers: E32, E37
{"title":"Inflation Expectations and Regime Shifts in the Euro Area","authors":"M. Virén","doi":"10.2139/SSRN.1019998","DOIUrl":"https://doi.org/10.2139/SSRN.1019998","url":null,"abstract":"This paper focuses on the determination of inflation expectations. The following two questions are examined: How much do inflation expectations reflect different economic and institutional regime shifts and in which way do inflation expectations adjust to past inflation?The basic idea in the analysis is an assumption that inflation expectations do not mechanically reflect past inflation as may econometric specification de facto assume but rather they depend on the relevant economic regime.Also the adjustment of expectations to past inflation is different in different inflation regimes.The regime analysis is based on panel data from EMU/EU countries for the period 1973- 2004, while the inflation adjustment analysis mainly uses the Kalman filter technique for individual countries for the same period.Expectations (forecasts) are derived from OECD data.Empirical results strongly favour the regime-sensitivity hypothesis and provide an explanation for the poor performance of conventional estimation procedures in the context of Phillips curves. Key words: inflation expectations, Kalman filter, stability JEL classification numbers: E32, E37","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126548335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper gives an overview of the present version of the quarterly model for the Belgian economy built at the National Bank of Belgium (NBB). This model can provide quantitative input into the policy analysis and projection processes within a framework that has explicit micro-foundations and expectations. This new version is also compatible with the ESA95 national accounts. This model called Noname is relatively compact. The intertemporal optimisation problem of households and firms is subject to polynomial adjustment costs, which yields richer dynamic specifications than the more usual quadratic cost function. Other characteristics are: pricing-to-market and hence flexible mark-ups and incomplete pass-through, a CES production function with an elasticity of substitution between capital and labour below one, time-dependent wage contracting a la Dotsey, King and Wollman. Most of the equations taken individually have acceptable statistical properties and diagnostic simulations suggest that the impulse responses of the model to exogenous shocks are reasonable. Its structure allows simulations to be conducted under the assumption of rational expectations as well as under alternative expectations formations.
{"title":"Noname - A New Quarterly Model for Belgium","authors":"Philippe Jeanfils, K. Burggraeve","doi":"10.2139/ssrn.1691467","DOIUrl":"https://doi.org/10.2139/ssrn.1691467","url":null,"abstract":"This paper gives an overview of the present version of the quarterly model for the Belgian economy built at the National Bank of Belgium (NBB). This model can provide quantitative input into the policy analysis and projection processes within a framework that has explicit micro-foundations and expectations. This new version is also compatible with the ESA95 national accounts. This model called Noname is relatively compact. The intertemporal optimisation problem of households and firms is subject to polynomial adjustment costs, which yields richer dynamic specifications than the more usual quadratic cost function. Other characteristics are: pricing-to-market and hence flexible mark-ups and incomplete pass-through, a CES production function with an elasticity of substitution between capital and labour below one, time-dependent wage contracting a la Dotsey, King and Wollman. Most of the equations taken individually have acceptable statistical properties and diagnostic simulations suggest that the impulse responses of the model to exogenous shocks are reasonable. Its structure allows simulations to be conducted under the assumption of rational expectations as well as under alternative expectations formations.","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125115081","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate in this paper the ability of the yield spread to forecast economic activity in Germany, the United States and France. Two approaches are implemented. The first one, widely used, consists in regressing the growth rate of the GDP computed on various horizons on the yield spread. In the second one, we examine the usefulness of the yield spread in predicting whether or not the economy will be in recession in the future. So, in that particular case we use a probit model. For both approaches, we analyze the in-sample forecasting ability as well as the out-of-sample accuracy of the outcomes. The stability of the relation, based on time-varying root mean squares errors, is also analyzed.
{"title":"Does the Yield Spread Content Any Information About Future Economic Activity? (In French)","authors":"Franck Sédillot","doi":"10.2139/ssrn.1734315","DOIUrl":"https://doi.org/10.2139/ssrn.1734315","url":null,"abstract":"We investigate in this paper the ability of the yield spread to forecast economic activity in Germany, the United States and France. Two approaches are implemented. The first one, widely used, consists in regressing the growth rate of the GDP computed on various horizons on the yield spread. In the second one, we examine the usefulness of the yield spread in predicting whether or not the economy will be in recession in the future. So, in that particular case we use a probit model. For both approaches, we analyze the in-sample forecasting ability as well as the out-of-sample accuracy of the outcomes. The stability of the relation, based on time-varying root mean squares errors, is also analyzed.","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"525 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133954075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The effects of population aging are examined with a theoretical model and simulations of MULTIMOD. An older population will consume more of aggregate disposable income, require higher government expenditure, and decrease labor supply. These effects should raise real interest rates and lower capital stock and output. Effects on current balances will depend on the relative speed and extent of aging. Simulations of projected demographic changes suggest that by 2025, real interest rates would be increased in all countries, and net foreign assets would be increased in the United States and decreased in the Federal Republic of Germany and Japan.
{"title":"Macroeconomic Effects of Projected Population Aging in Industrial Countries","authors":"Paul R. Masson, R. Tryon","doi":"10.2307/3867261","DOIUrl":"https://doi.org/10.2307/3867261","url":null,"abstract":"The effects of population aging are examined with a theoretical model and simulations of MULTIMOD. An older population will consume more of aggregate disposable income, require higher government expenditure, and decrease labor supply. These effects should raise real interest rates and lower capital stock and output. Effects on current balances will depend on the relative speed and extent of aging. Simulations of projected demographic changes suggest that by 2025, real interest rates would be increased in all countries, and net foreign assets would be increased in the United States and decreased in the Federal Republic of Germany and Japan.","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1990-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124363318","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We present a comprehensive disaggregate approach for short-term forecasting economic activity in Germany by explicitly taking into account the supply or production side and the demand side of GDP. The GDP figures calculated by the two sides usually yield different results and the official GDP release is somewhere in between. We make use of this statistical procedure by separately modeling the two sides of GDP in a system of bridge equations at the most disaggregate level available and combining the resulting two aggregate GDP forecasts. Comparing several specification schemes in an out-of-sample forecast evaluation setup, we are able to find informative forecasts for most of the underlying GDP components. We then show first, that both approaches already yield informative aggregate forecasts for forecast horizons of up to 28 weeks and second, that combining the production side and the demand side projections substantially improves the forecast performance, in particular for the shorter forecast horizons.
{"title":"Short-Term Forecasting Economic Activity in Germany: A Supply and Demand Side System of Bridge Equations","authors":"Nicolas Pinkwart","doi":"10.2139/ssrn.3255394","DOIUrl":"https://doi.org/10.2139/ssrn.3255394","url":null,"abstract":"We present a comprehensive disaggregate approach for short-term forecasting economic activity in Germany by explicitly taking into account the supply or production side and the demand side of GDP. The GDP figures calculated by the two sides usually yield different results and the official GDP release is somewhere in between. We make use of this statistical procedure by separately modeling the two sides of GDP in a system of bridge equations at the most disaggregate level available and combining the resulting two aggregate GDP forecasts. Comparing several specification schemes in an out-of-sample forecast evaluation setup, we are able to find informative forecasts for most of the underlying GDP components. We then show first, that both approaches already yield informative aggregate forecasts for forecast horizons of up to 28 weeks and second, that combining the production side and the demand side projections substantially improves the forecast performance, in particular for the shorter forecast horizons.","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"72 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120884488","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose – To identify the main determinants of customers’ perceptions of electronic banking services, assess the effects of service improvements on customer satisfaction and evaluate banks’ performance regarding key e-banking quality areas. Evidence is drawn from Greek retail banking. Design/methodology/approach – A research instrument based on a 26-items scale of e-banking quality measurement, from the literature and from conducting two focus groups, was used for data collection from a convenience sample of 302 e-banking users in Greece. Factor analysis was used to identify the underlying factor structure of the scale, regression analysis employed for the examination of the effects of service improvements on customer satisfaction and finally importance-performance analysis provided strategic directions for deploying quality resources. Findings – Greek banks need to keep giving priority attention to the dimensions in the “keep-up-the-good-work” quadrant of the IP map, i.e. Accessibility-Convenience and Transaction Security. Special priority should be given to improving security in ATM banking and educating new users. The placement of both these attributes in the “concentrate here” quadrant indicates that customers expect visible improvements in these areas. Although Personalized Service and Innovation are currently located within the “low priority” quadrant, Greek banks should be prepared to face significant quality challenges with regard to these dimensions. Deploying resources to improve their recovery records and services to handicapped citizens would enhance their corporate image for social responsibility. Furthermore, improving connection to the service speed in Internet and Phone banking would improve their innovator image. Finally, banks should be aware that service quality is not static. As technological, economic and social trends affect customers’ preferences and needs, there will be changes in both importance and performance ratings. Frequent monitoring of customers’ perceptions helps firms to synchronize their services with the needs of their customer base. Research limitations – The main limitations of this study is focusing on a single industry and convenience sam-pling that may have affected the generalizability of findings. Further research should be directed towards cross-national/cross-industry repetitions of the study, examining the stability and reliability of the scale, specifying the impact of demographic customers’ differences and alternative forms of e-banking on the findings. Practical implications – The study identifies the factors of electronic banking service experience, and their underlined attributes, that fall into the quadrants of the importance-performance grid. Hence, it recognizes areas critical for service improvement and provides guidance for aptly directing resources in order to maintain and/or improve service delivery. Furthermore, by assessing the impact of factors of service experience the study provides t
{"title":"Determinants of Customers’ Perceptions of Electronic Services: An Analysis in the Greek Banking Industry","authors":"E. Tsoukatos","doi":"10.5848/APBJ.2008.00038","DOIUrl":"https://doi.org/10.5848/APBJ.2008.00038","url":null,"abstract":"Purpose – To identify the main determinants of customers’ perceptions of electronic banking services, assess the effects of service improvements on customer satisfaction and evaluate banks’ performance regarding key e-banking quality areas. Evidence is drawn from Greek retail banking. Design/methodology/approach – A research instrument based on a 26-items scale of e-banking quality measurement, from the literature and from conducting two focus groups, was used for data collection from a convenience sample of 302 e-banking users in Greece. Factor analysis was used to identify the underlying factor structure of the scale, regression analysis employed for the examination of the effects of service improvements on customer satisfaction and finally importance-performance analysis provided strategic directions for deploying quality resources. Findings – Greek banks need to keep giving priority attention to the dimensions in the “keep-up-the-good-work” quadrant of the IP map, i.e. Accessibility-Convenience and Transaction Security. Special priority should be given to improving security in ATM banking and educating new users. The placement of both these attributes in the “concentrate here” quadrant indicates that customers expect visible improvements in these areas. Although Personalized Service and Innovation are currently located within the “low priority” quadrant, Greek banks should be prepared to face significant quality challenges with regard to these dimensions. Deploying resources to improve their recovery records and services to handicapped citizens would enhance their corporate image for social responsibility. Furthermore, improving connection to the service speed in Internet and Phone banking would improve their innovator image. Finally, banks should be aware that service quality is not static. As technological, economic and social trends affect customers’ preferences and needs, there will be changes in both importance and performance ratings. Frequent monitoring of customers’ perceptions helps firms to synchronize their services with the needs of their customer base. Research limitations – The main limitations of this study is focusing on a single industry and convenience sam-pling that may have affected the generalizability of findings. Further research should be directed towards cross-national/cross-industry repetitions of the study, examining the stability and reliability of the scale, specifying the impact of demographic customers’ differences and alternative forms of e-banking on the findings. Practical implications – The study identifies the factors of electronic banking service experience, and their underlined attributes, that fall into the quadrants of the importance-performance grid. Hence, it recognizes areas critical for service improvement and provides guidance for aptly directing resources in order to maintain and/or improve service delivery. Furthermore, by assessing the impact of factors of service experience the study provides t","PeriodicalId":108782,"journal":{"name":"ERN: Outlooks & Forecasting (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131049536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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