Real-Time Determinants of Fiscal Policies in the Euro Area: Fiscal Rules, Cyclical Conditions and Elections

2006 ◽  
Author(s):  
Roberto Golinelli ◽  
Sandro Momigliano
Keyword(s):  
Real Time ◽  
Euro Area ◽  
Fiscal Rules ◽  
Fiscal Policies

Real-time determinants of fiscal policies in the euro area

2006 ◽  
Vol 28 (9) ◽  
pp. 943-964 ◽  
Author(s):  
Roberto Golinelli ◽  
Sandro Momigliano
Keyword(s):  
Real Time ◽  
Euro Area ◽  
Fiscal Policies

Cooperative Monetary and Fiscal Policies in the Euro Area

2018 ◽  
Vol 85 (1) ◽  
pp. 217-234 ◽  
Author(s):  
Willi Semmler ◽  
Alexander Haider
Keyword(s):  
Euro Area ◽  
Fiscal Policies

scholarly journals Stochastic model specification in Markov switching vector error correction models

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Niko Hauzenberger ◽  
Florian Huber ◽  
Michael Pfarrhofer ◽  
Thomas O. Zörner
Keyword(s):  
Stochastic Model ◽  
Error Correction ◽  
Real Time ◽  
Euro Area ◽  
Model Specification ◽  
Vector Error Correction ◽  
Vector Error ◽  
Common Distribution ◽  
Vector Error Correction Models ◽  
Shrinkage Priors

AbstractThis paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression coefficients. The mean as well as the variances of this distribution are treated as fully stochastic and suitable shrinkage priors are used. These shrinkage priors enable to assess which coefficients differ across regimes in a flexible manner. In the case of similar coefficients, our model pushes the respective regions of the parameter space towards the common distribution. This allows for selecting a parsimonious model while still maintaining sufficient flexibility to control for sudden shifts in the parameters, if necessary. We apply our modeling approach to real-time Euro area data and assume transition probabilities between expansionary and recessionary regimes to be driven by the cointegration errors. The results suggest that the regime allocation is governed by a subset of short-run adjustment coefficients and regime-specific variance-covariance matrices. These findings are complemented by an out-of-sample forecast exercise, illustrating the advantages of the model for predicting Euro area inflation in real time.

scholarly journals The role of indicator selection in nowcasting euro-area GDP in pseudo-real time

2016 ◽  
Vol 53 (1) ◽  
pp. 79-99 ◽  
Author(s):  
Alessandro Girardi ◽  
Roberto Golinelli ◽  
Carmine Pappalardo
Keyword(s):  
Real Time ◽  
Euro Area ◽  
Indicator Selection
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