Arbeitspapier
Analysing and forecasting price dynamics across euro area countries and sectors: A panel VAR approach
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different sectors - industry, services, construction, and agriculture - across the four largest euro area economies - Germany, France, Italy and Spain - and the euro area as a whole. By modelling prices together with real activity, employment and wages, we can disentangle the role of unit labour costs and profit margins as the factors affecting price pressures on the supply side. In out-of-sample forecast exercises, the PVAR model fares comparatively well against common alternatives, although short-horizon forecast errors tend to be large when we consider only the period of the recent financial crisis. The second part of the paper focuses on Spain, for which prediction errors during the crisis are particularly large. Given that its economy faced dramatic sectoral changes due to the burst of a housing bubble, we use the PVAR model for studying the transmission of shocks originating from the Spanish construction sector to other sectors. In a multi-country extension of the model, we also allow for spillovers to the other euro area countries in our sample.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1410
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods
Price Level; Inflation; Deflation
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Cost pressures
forecasting
impulse response analysis
panel VAR models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dées, Stéphane
Güntner, Jochen
- Ereignis
-
Veröffentlichung
- (wer)
-
Johannes Kepler University of Linz, Department of Economics
- (wo)
-
Linz
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dées, Stéphane
- Güntner, Jochen
- Johannes Kepler University of Linz, Department of Economics
Entstanden
- 2014
Ähnliche Objekte (12)
Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach
Forecasting liquidity in traditional and technology-based-sectors: The case of Poland
Forecasting Austrian HICP and its Components using VAR and ARIMA Models
Forecasting with a noncausal VAR model
An input-output framework for analysing relationships between economic sectors and water use and intersectoral water relationships in Morocco
A copula-VAR-X approach for industrial production modelling and forecasting
Improving inference and forecasting in VAR models using cross-sectional information
A copula-VAR-X approach for industrial production modelling and forecasting
Improving inference and forecasting in VAR models using cross-sectional information
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
VAR Model Averaging for Multi-Step Forecasting
Real-time forecasting with a MIDAS VAR
Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach
Forecasting liquidity in traditional and technology-based-sectors: The case of Poland
Forecasting Austrian HICP and its Components using VAR and ARIMA Models
Forecasting with a noncausal VAR model
An input-output framework for analysing relationships between economic sectors and water use and intersectoral water relationships in Morocco
A copula-VAR-X approach for industrial production modelling and forecasting
Improving inference and forecasting in VAR models using cross-sectional information
A copula-VAR-X approach for industrial production modelling and forecasting
Improving inference and forecasting in VAR models using cross-sectional information
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
VAR Model Averaging for Multi-Step Forecasting
Real-time forecasting with a MIDAS VAR
Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach
Forecasting liquidity in traditional and technology-based-sectors: The case of Poland
Forecasting Austrian HICP and its Components using VAR and ARIMA Models
Forecasting with a noncausal VAR model
An input-output framework for analysing relationships between economic sectors and water use and intersectoral water relationships in Morocco
A copula-VAR-X approach for industrial production modelling and forecasting
Improving inference and forecasting in VAR models using cross-sectional information
A copula-VAR-X approach for industrial production modelling and forecasting
Improving inference and forecasting in VAR models using cross-sectional information
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
VAR Model Averaging for Multi-Step Forecasting