Diffusion index-based inflation forecasts for the euro area

Diffusion indexes based on dynamic factors have recently been advocated by Stock and Watson (1998), and further used to perform forecasting tests by the same authors on US data. This technique is explored for the euro area using a multi-country data set and a broad array of variables, in order to test the inflation forecasting performance of extracted factors at the aggregate euro area level. First, a description of factors extracted from different data sets is performed using a number of different approaches. Conclusions reached are that nominal phenomena in the original variables might be well captured in-sample using the factor approach. Out-of-sample tests have more ambiguous interpretation, as factors seem to be good leading indicators of inflation, but the comparative advantage of the factors is less clear. Nevertheless, alternative indicators such as unemployment or money growth do not outperform them JEL Classification: C53, E31, E37

A multi-country trend indicator for euro area inflation: computation and properties

This paper applies the 'diffusion indices' approach proposed by Stock and Watson [1998] to the euro area. Following their methodology a set of factors are extracted from a balanced and unbalanced panel dataset comprising nominal variables for 11 countries of the euro area. The estimated factors appear to be fairly stable over time. It is also shown that the first factor is cointegrated with area wide HICP and private consumption deflator supporting the idea that it represents 'a common trend of inflation' for the euro area. The other factors, which are stationary instead, seem to capture dispersion of inflation across countries. There is moreover evidence of unilateral causality from the first factor with respect to HICP, suggesting that this factor could be valuably employed in forecasting euro area inflation JEL Classification: E52, E58

Factor Analysis in a Model with Rational Expectations

DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack or weakness of identification of the parameters, misspecification of the model due to omitted variables or parameter instability, and the common use of inefficient estimation methods. Several authors have raised concerns over the implications of using inappropriate instruments to achieve identification. In this paper we analyze the practical relevance of these problems and we propose to combine factor analysis for information extraction from large data sets and GMM to estimate the parameters of systems of forward looking equations. Using these techniques, we evaluate the robustness of recent findings on the importance of forward looking components in the equations of a standard New-Keynesian model.

The short-term impact of government budgets on prices : evidence from macroeconometrics models

This paper reviews the existing empirical evidence on the short term impact on prices of fiscal variables and assesses it against new results from harmonised simulations, conducted with six well established econometric models used by the ECB and five national central banks (NCBs) of the Eurosystem. The outcome is also compared with results from the European Commission and the OECD models. Overall, a broad consensus appears on the impact on prices of changes in individual government budget items in the euro area. In all cases, changes in government demand and in direct taxes paid by households have a limited impact on prices in the first year while, in contrast, changes in indirect taxes and employers¿ social security contributions have a relatively large impact. The second year results show that the effects on prices usually take some time to materialise fully; in particular, they often become large for the public consumption shock

Approche expérimentale de l'amorçage de la CSC des aciers inoxydables austénitiques pré-déformés en milieu primaire de REP

National audienceLes aciers inoxydables de type 304L et 316L sont très employés dans le circuit primaire des centrales nucléaires REP du fait de leur bonne résistance à la corrosion généralisée à haute température. Quelques cas de corrosion sous contrainte (CSC) de type intergranulaire ont toutefois été rapportés en milieu primaire nominal. La présente étude vise à développer un modèle semi-empirique de l'amorçage de la CSC intergranulaire des aciers inoxydables 304L et 316L pré-déformés par traction et à améliorer la compréhension du rôle de la pré-déformation sur les mécanismes de la CSC. Des résultats obtenus en parallèle par le CEA sur un autre acier 316L, de composition chimique différente, et pour une autre voie de pré-déformation (laminage) seront également discutés

A 850-GHz waveguide receiver employing a niobium SIS junction fabricated on a 1-μm Si_3N_4 membrane

We report on a 850-GHz superconducting-insulator-superconducting (SIS) heterodyne receiver employing an RF-tuned niobium tunnel junction with a current density of 14 kA/cm^2, fabricated on a 1-µm Si_3N_4 supporting membrane. Since the mixer is designed to be operated well above the superconducting gap frequency of niobium (2Δ/h ≈ 690 GHz), special care has been taken to minimize niobium transmission-line losses. Both Fourier transform spectrometer (FTS) measurements of the direct detection performance and calculations of the IF output noise with the mixer operating in heterodyne mode, indicate an absorption loss in the niobium film of about 6.8 dB at 822 GHz. These results are in reasonably good agreement with the loss predicted by the Mattis-Bardeen theory in the extreme anomalous limit. From 800 to 830 GHz, we report uncorrected receiver noise temperatures of 518 or 514 K when we use Callen and Welton's law to calculate the input load temperatures. Over the same frequency range, the mixer has a 4-dB conversion loss and 265 K ± 10 K noise temperature. At 890 GHz, the sensitivity of the receiver has degraded to 900 K, which is primarily the result of increased niobium film loss in the RF matching network. When the mixer was cooled from 4.2 to 1.9 K, the receiver noise temperature improved about 20% 409-K double sideband (DSB). Approximately half of the receiver noise temperature improvement can be attributed to a lower mixer conversion loss, while the remainder is due to a reduction in the niobium film absorption loss. At 982 GHz, we measured a receiver noise temperature of 1916 K

A Survey on Reachable Set Techniques for Fault Recoverability Assessment

The development of any fault-tolerant control solution is based on the strong assumption that fault situations can be accommodated. This paper provides a survey of four reachable set techniques to assess the fault recoverability property for constrained linear time invariant (LTI) systems by means of ellipsoid, zonotope, polytope and support function representations. These techniques are next applied to an angular velocity spacecraft model. A discussion is finally made to assess the computational complexity for the four algorithms