No disponible en español
Máté Barnabás Tóth
- 11 May 2023
- WORKING PAPER SERIES - No. 2815Details
- Abstract
- Euro area labour market variables are published with a considerable lag, longer than in the case of real GDP. We develop a suite of models to provide a more timely estimate (nowcast) of euro area quarterly employment growth based on a broad range of monthly indicators. The suite includes a batch of different dynamic factor model and bridge equation specifications. We evaluate it in real time over 2013-2022 and find that (i) monthly indicators provide useful information for a timely assessment of employment developments with unemployment rates and sentiment indicators containing most of the relevant information, (ii) the performance of small-scale models is comparable to those based on a larger information set, (iii) the suite performs favourably compared to the Eurosystem/ECB staff macroeconomic projections,(iv) forecasting performance deteriorates temporarily at the initial stage of the COVID-19 pandemic period, but the models outperform the benchmarks again thereafter.
- JEL Code
- C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
- 24 March 2022
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 2, 2022Details
- Abstract
- Strains in global supply chains of goods have been weighing on the global business cycle since late 2020. Given the multifaceted nature of supply bottlenecks, this box uses a relatively large set of indicators to track their causes. These indicators can help identify any signs of improvement or deterioration in specific economic sectors at an earlier stage. These sectoral indicators are represented in the form of heatmaps for the euro area and the United States. Recent data suggest that supply bottlenecks remain at historically high levels in both economies but may be starting to ease.
- JEL Code
- C30 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→General
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
F60 : International Economics→Economic Impacts of Globalization→General
- 15 February 2022
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 1, 2022Details
- Abstract
- This box reviews the dependence of the euro area on natural gas and provides an assessment of the impact of gas price increases and a possible rationing shock on activity. Natural gas is the second most important primary energy resource in the euro area and the most important in the manufacturing sector. More than 90% of the natural gas consumed in the euro area is imported. With indirect use in the early stages of production accounting for more than two-thirds of gas consumption, supply chain linkages significantly amplify the reaction of goods producers and services providers to gas price increases. An accounting framework based on input-output tables shows that the direct and indirect impact of a hypothetical 10% gas rationing shock would reduce euro area gross value added by about 0.7%. Illustrative simulations based on the ongoing surge in oil and gas prices and futures suggest that, by the end of 2022, euro area real GDP may be around 0.2% lower than its counterfactual level, with the effect likely peaking in the first quarter of this year.
- JEL Code
- D45 : Microeconomics→Market Structure and Pricing→Rationing, Licensing
D57 : Microeconomics→General Equilibrium and Disequilibrium→Input?Output Tables and Analysis
Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
- 24 June 2021
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 4, 2021Details
- Abstract
- This box documents the misalignment between the surge in global demand for semiconductors and their limited global supply. The semiconductor chip shortage poses constraints on euro area manufacturers, particularly in industries relying on semiconductors, such as the computer, electronic, electrical equipment and automotive industries. So far, there is only limited evidence regarding the effects of the shortage of semiconductors on euro area price pressures.
- JEL Code
- F10 : International Economics→Trade→General
D24 : Microeconomics→Production and Organizations→Production, Cost, Capital, Capital, Total Factor, and Multifactor Productivity, Capacity
E23 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Production
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
- 11 February 2021
- WORKING PAPER SERIES - No. 2523Details
- Abstract
- This paper builds an unobserved components model that combines a multivariate filter approach with a Cobb-Douglas production function. This combination allows potential output estimates to incorporate more economic structure than the traditional production function approach, while retaining the ability to conduct growth accounting exercises. The model is a backward-looking state space model estimated with Bayesian methods employing the Kalman filter to jointly decompose six key observable variables (real GDP, unemployment rate, labour force participation rate, hours worked per person, a measure of core inflation and wage inflation) into trend and cyclical components. To do so, it relies on several reduced form relationships across the cyclical components, such as a wage and a price Phillips curve and an Okun's law type relationship, while it also assumes common trends for a few variables and allows for hysteresis effects. The model is estimated on aggregate euro area data with Bayesian methods. The paper finds that the resulting output gap estimates have good revision properties and reasonable forecasting performance in particular in terms of GDP and core inflation vis-a-vis a set of benchmarks.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
D24 : Microeconomics→Production and Organizations→Production, Cost, Capital, Capital, Total Factor, and Multifactor Productivity, Capacity
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
- 5 November 2018
- ECONOMIC BULLETIN - ARTICLEEconomic Bulletin Issue 7, 2018Details
- Abstract
- Potential output is typically seen by economic analysts as the highest level of economic activity that can be sustained over the long term. Changes in potential output can be driven by factors such as labour supply, capital investment and technological innovation. Recent estimates by international institutions suggest that the euro area economy is currently operating close to its potential. The ongoing economic expansion appears to have largely absorbed the spare capacity created by the global financial crisis and the sovereign debt crisis. At the same time, the estimated rate of potential output growth also appears to have recovered most of its pre-crisis momentum, underpinned mainly by an expansion of the labour force, a decline in trend unemployment and stronger productivity gains. Looking ahead, projections by international institutions suggest that actual euro area GDP growth will continue to outpace potential growth in the near term. Hence, supply constraints are likely to become increasingly binding going forward, which would be conducive to a gradual strengthening of euro area inflation.
- JEL Code
- E22 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Capital, Investment, Capacity
E23 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Production
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
- 29 October 2018
- OCCASIONAL PAPER SERIES - No. 215Details
- Abstract
- The article analyses recent developments in business investment for a large group of EU countries, using a broad set of analytical tools and data sources. We find that the assessment of whether or not investment is currently low varies across benchmarks and countries. At the euro area level and for most countries, the level of business investment is broadly in line with the level of overall activity. However rates of capital stock growth have slowed down since the crisis. The main cyclical determinants of investment developments in the euro area include foreign and domestic demand, uncertainty and financial conditions. Uncertainty seems to have played a negative role during the financial and sovereign debt crises; however, given its low levels more recently, it has not acted as a drag on business investment overall during the recovery. Credit constraints appear to have hindered investment during the twin crises, especially in stressed countries. Aside from cyclical developments, important secular factors – relating to demographics, the changing nature and location of production, and the business environment – have influenced investment. Another factor that may have amplified the decline in private investment, particularly in countries that were hit hardest by the sovereign debt crisis, is the low level of public investment. This is because when public investment enhances the productivity of the private sector, there may be positive spillovers from the former to the latter, including across countries. Finally, intra-sector capital misallocation, measured as the within-sector dispersion across firms in the marginal revenue product of capital, has been increasing in Europe since 2002, which may in turn have exerted a significant drag on total factor productivity dynamics, and hence on aggregate output growth.
- JEL Code
- E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E62 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Fiscal Policy
D24 : Microeconomics→Production and Organizations→Production, Cost, Capital, Capital, Total Factor, and Multifactor Productivity, Capacity
D61 : Microeconomics→Welfare Economics→Allocative Efficiency, Cost?Benefit Analysis
- 10 May 2018
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 3, 2018Details
- Abstract
- This box aims to illustrate the difficulties in measuring slack in the euro area economy and the high uncertainty surrounding the estimates. A model-based estimate illustrates the point by suggesting an output gap that is close to zero, although surrounded by a high degree of uncertainty. Recent labour supply shocks are likely to be supporting the growth of both potential and actual output. The broad measure of labour underutilisation suggests that slack was larger during the financial crisis and over the recovery than indicated by the headline unemployment rate.
- JEL Code
- E22 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Capital, Investment, Capacity
E23 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Production
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
J20 : Labor and Demographic Economics→Demand and Supply of Labor→General
J64 : Labor and Demographic Economics→Mobility, Unemployment, Vacancies, and Immigrant Workers→Unemployment: Models, Duration, Incidence, and Job Search