Simula@BI: Back to the Present: Learning about the Euro Area through a Now-casting Model
Speaker: Domenico Giannone, Amazon.com
We build a multi-country model for simultaneously now-casting economic conditions in the euro area and its three largest member countries: Germany, France, and Italy. The model formalizes how market participants and policymakers monitor in real time both euro-area and country-specific market-moving indicators.
The out-of-sample evaluation corroborates the usefulness of a multi-country approach to monitor the euro area. Indeed, the model provides real-time accurate predictions of economic conditions both on average and in the past three recessions, while finding that soft data is timely and intrinsically informative.
This seminar is within the field of statistics/econometrics.