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Unlocking the power of ideas
History tells us that ideas can only drive growth if we first create conditions that allow them to reach their full potential, says President Christine Lagarde. Translation, diffusion and ambition have always been critical to unlocking that potential.
Read the speech
22 April 2024
Christine Lagarde: Unlocking the power of ideas
Speech by Christine Lagarde, President of the ECB, at Yale University in New Haven, USA
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22 April 2024
WORKING PAPER SERIES - No. 2930
Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany
Günter W. Beck
Kai Carstensen
Jan-Oliver Menz
Richard Schnorrenberger
Elisabeth Wieland
English
Details
Abstract
We study how millions of granular and weekly household scanner data combined with machine learning can help to improve the real-time nowcast of German inflation. Our nowcasting exercise targets three hierarchy levels of inflation: individual products, product groups, and headline inflation. At the individual product level, we construct a large set of weekly scanner-based price indices that closely match their official counterparts, such as butter and coffee beans. Within a mixed-frequency setup, these indices significantly improve inflation nowcasts already after the first seven days of a month. For nowcasting product groups such as processed and unprocessed food, we apply shrinkage estimators to exploit the large set of scanner-based price indices, resulting in substantial predictive gains over autoregressive time series models. Finally, by adding high-frequency information on energy and travel services, we construct competitive nowcasting models for headline inflation that are on par with, or even outperform, survey-based inflation expectations.
JEL Code
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
C55 : Mathematical and Quantitative Methods→Econometric Modeling→Modeling with Large Data Sets?
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
Network
Price-setting Microdata Analysis Network (PRISMA)
22 April 2024
WORKING PAPER SERIES - No. 2929
Decomposing systemic risk: the roles of contagion and common exposures
Grzegorz Hałaj
Ruben Hipp
English
Details
Abstract
We evaluate the effects of contagion and common exposure on banks’ capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common exposures result from portfolio overlaps. We estimate the structural regression on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion varies in time, with the highest levels around the Great Financial Crisis and lowest levels during the pandemic. Second, we find that after the introduction of Basel III the relative importance of risks has changed, hinting that sources of systemic risk have changed structurally. Our new framework complements traditional stress-tests focused on single institutions by providing a holistic view of systemic risk.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C51 : Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation
L14 : Industrial Organization→Market Structure, Firm Strategy, and M
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18 April 2024
EU funding available for innovative ideas to tackle long-term unemployment
The Commission has launched a €23 million call for proposals to help EU countries develop new ways
of tackling long-term unemployment. The funding will also help people find their way back into the labour market.
News announcement
18 April 2024
EU support available for projects tackling environmental and climate challenges
The EU has launched a €571 million call for proposals under the LIFE Programme, its flagship initiative for funding environmental and climate actions. Funding is available for projects that are focused on nature conservation, environmental protection, climate change or the clean energy transition.
News article
17 April 2024
European Heritage Label awarded to seven new sites
The Commission has announced the winning European Heritage Label sites for 2023. Seven new historical sites across the EU have been recognised for their significant role in the history and culture of Europe and the development of the European Union.
Please find here a link to our UK gender pay report
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on the Belgian EU Presidency