Pas disponible en français
Paola Donati
- 28 August 2008
- WORKING PAPER SERIES - No. 917Details
- Abstract
- This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the explicit description of the cross-sectional dynamics of the interest rates. The intertemporal dynamics of the factors is then modeled as driven by long-run forces giving rise to enduring effects, and by medium- and short-run forces producing transitory effects. These forces are re-constructed in real time with a dynamic filter whose embedded feedback control recursively corrects for model uncertainty, including additive and parameter uncertainty and possible equation misspecifications and approximations. This correction sensibly enhances the robustness of the estimates and the accuracy of the out-of-sample forecasts, both at short and long forecast horizons.
- JEL Code
- G1 : Financial Economics→General Financial Markets
E4 : Macroeconomics and Monetary Economics→Money and Interest Rates
C5 : Mathematical and Quantitative Methods→Econometric Modeling
- 1 September 2003
- WORKING PAPER SERIES - No. 262Details
- Abstract
- We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with finitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the rational expectations equilibria for any degree of revelation. Then, we show how a central bank, by deciding on the money supply, may affect the revelation of information at equilibrium.
- JEL Code
- D52 : Microeconomics→General Equilibrium and Disequilibrium→Incomplete Markets
D80 : Microeconomics→Information, Knowledge, and Uncertainty→General
D82 : Microeconomics→Information, Knowledge, and Uncertainty→Asymmetric and Private Information, Mechanism Design
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 1 September 2003
- WORKING PAPER SERIES - No. 255Details
- Abstract
- This paper re-examines two data issues concerning euro area money demand: aggregation of national data and measurement of the own rate. The main purpose is to study if euro area money demand is subject to parameter non-constancies using formal tests rather than informal diagnostics. As a complement to inference based on asymptotics we perform small-scale bootstraps. The empirical evidence supports the existence of a stable long-run relationship between money and output and that the co-integration space is constant over time. However, the interest rate semi-elasticities of money demand are imprecisely estimated. Conditional on the co-integration relations the remaining parameters of the system appear to be constant. We also examine the relevance of stock prices for money demand and find that our measure does not matter for the long-run relations, but may be useful in forecasting exercises. Finally, the conclusions are robust for the aggregation method and the choice of sample.
- JEL Code
- C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E41 : Macroeconomics and Monetary Economics→Money and Interest Rates→Demand for Money - Network
- Background study for the evaluation of the ECB's monetary policy strategy