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We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We u[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard imp[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Stil[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavail[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP a[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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8.
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Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-manage[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substitu[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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