C5 - Econometric Modeling

• Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions

  Staff Discussion Paper 2014-3 Maxime Leboeuf, Louis Morel

  In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

• Consumer Attitudes and the Epidemiology of Inflation Expectations

  Staff Working Paper 2014-28 Michael Ehrmann, Damjan Pfajfar, Emiliano Santoro

  This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): C, C5, C53, D, D8, D84, E, E3, E31

• Improving Overnight Loan Identification in Payments Systems

  Staff Working Paper 2014-25 Mark Rempel

  Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates, Payment clearing and settlement systems JEL Code(s): C, C3, C38, C5, C53, E, E4, E42, E44, G, G1, G10