Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections

Abstract

This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB.

How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area

“…This conclusion remains unaected also if we allow for some rebalancing of nancial portfolios and for more dierentiated responses of house prices to QE. for example, Angelini et al, 2018;Capolongo and Pacella, 2018). A similar framework has been also used to estimate the eects of common euro area monetary policy shocks on various countries by Altavilla et al (2016) (for both standard monetary policy and outright monetary transactions, OMT) and Mandler et al (2016) (for standard monetary policy shocks).…”

Macroeconomic Forecasting in a Multi-country Context

“…For each element i of the intercept vector c, it is common to specify an uninformative prior by setting the prior variance equal to 100 × σ 2 i . In view of the fact that the usual Minnesota-type prior ignores the panel structure in the data, Angelini, et al (2019) recently proposed a modified Minnesota-type shrinkage prior to carefully deal with the panel structure. In particular, a different hyperparameter λ 4 is introduced in (5) on coefficients related to other countries' variables.…”

A Multi-Country BVAR Model for the External Sector

“…According to Domit et al (2016), the forecasts of GDP and its components in the BVAR model are more accurate than those in COMPASS, while inflation forecasts have the same accuracy. The European Central Bank (ECB) employs BVAR models for the four largest EU economies to forecast GDP and inflation (Angelini et al, 2019) and to analyse the effect of quantitative easing (Lenza and Slacalek, 2018). The Bundesbank uses a BVAR model to analyse the impact of ECB monetary policy shocks on the four major EU economies (Mandler et al, 2016).…”