Arbeitspapier
The ECB's tracker: Nowcasting the press conferences of the ECB
This paper proposes an econometric framework for nowcasting the monetary policy stance and decisions of the European Central Bank (ECB) exploiting the ow of conventional and textual data that become available between two consecutive press conferences. Decompositions of the updated nowcasts into variables' marginal contribution are also provided to shed light on the main drivers of the ECB's reaction function at every point in time. In out-of-sample nowcasting experiments, the model provides an accurate tracking of the ECB monetary policy stance and decisions. The inclusion of textual variables contributes signifi- cantly to the gradual improvement of the model performance.
- ISBN
-
978-92-899-4862-3
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2609
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy
- Thema
-
Natural Language Processing
Dynamic Factor Model
Monetary Policy
Forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Marozzi, Armando
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2866/214406
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Marozzi, Armando
- European Central Bank (ECB)
Entstanden
- 2021
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