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Long-term government bond yelds and economic forecast : evidence for the EU

Afonso, António
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2009 ENG
Relevância na Pesquisa
36.33%
I use a panel of semi-annual vintages of growth and fiscal forecasts of the European Commission, covering the period 1998:II-2008:II, to assess its effects on 10-year government yields for 14 EU countries. Results show that yields increase with better growth forecasts, and with decreases in budget balance-to-GDP ratios, signalling that sovereigns may need to pay more to finance in the market higher budget deficits.

The fiscal forecasting track record of the European Commission and Portugal

Afonso, António; Silva, Jorge
Fonte: ISEG - Departamento de Economia Publicador: ISEG - Departamento de Economia
Tipo: Outros
Publicado em //2012 ENG
Relevância na Pesquisa
36.48%
This study aims at explaining the deviation between the budget balance ratio forecasts and the outcomes in the Portuguese official forecasts and in the European Commission (EC) vintage forecasts. Therefore, we used data from the EC for the period 1969-2011 and also the Portuguese official forecasts for 1977-2011. We explain the deviation of the budget balance-to-GDP through econometric estimations and present statistical decomposition about budget balance, revenue and spending-to-GDP deviations. The statistical significance of real GDP and inflation deviations reveals the effect of automatic stabilizers and the imperfect tax indexation system. The European panel reveals statistical significance (no significance) of investment (unemployment) deviations in the budget-to-GDP ratio. Countries with better fiscal rules seem to present favourable deviations (in the absence of fixed effects). In Portugal, there is evidence of unfavourable errors about the budget balance in nominal currency in most years, which has been offset (totally or partially) by a favourable nominal GDP effect deviation.

Economic forecasts and sovereign yields

Afonso, António; Nunes, Ana Sofia
Fonte: ISEG. Departamento de Economia Publicador: ISEG. Departamento de Economia
Tipo: Outros
Publicado em /01/2013 ENG
Relevância na Pesquisa
46.66%
The European Commission releases twice a year economic forecasts for some macro and fiscal variables (GDP growth rate, inflation, budget balance, among others). In our research we will try to understand if the corrections made to these forecasts have an impact in sovereign yields. We will perform an econometric analysis in a panel of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal and Sweden), covering the period from 1999:1 until 2012:1, and after we analyse each country individually, on the basis of a SUR analysis. We find that corrections in the EC’s forecasts do impinge on the 10-year sovereign bond yields, particularly corrections in fiscal variables, but this impact is different across countries, being more pronounced in countries with less favourable economic conditions.

Revenue forecast errors in the European Union

Carvalho, Rui Miguel da Costa
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2013 ENG
Relevância na Pesquisa
36.4%
Mestrado em Economia Monetária e Financeira; The recent years had brought significant uncertainty to macroeconomic forecasts made not only by specialized international institutions but also by central governments. This dissertation assesses the determinants of revenue forecast errors for the EU-15 between 1999 and 2012, based on the forecasts published bi-annually by the European Commission. A particular important result obtained was that tax rate changes do affect revenue errors and that different tax changes affect differently revenue errors. Also, GDP errors, minority governments, election year and corporate rate changes can be associated to overly optimistic revenue forecasts. On the other hand, 10-year bond yields, inflation errors and VAT changes are associated with a more prudent behaviour.

Revenue forecast errors in the European Union

Afonso, António; Carvalho, Rui
Fonte: ISEG. Departamento de Economia Publicador: ISEG. Departamento de Economia
Tipo: Outros
Publicado em /02/2014 ENG
Relevância na Pesquisa
36.4%
In this paper we assess the determinants of revenue forecast errors for the EU-15 between 1999 and 2012, based on the forecasts published bi-annually by the European Commission. Our results show that personal income rate changes increase the revenue forecast errors: for forecasts made in t for t, increases in the corporate tax rate implies a decrease in the revenue forecast errors, in t+1 and t+2. Moreover, an increase in GDP forecast errors decreases revenue errors, whereas an increase in the inflation error will increase revenue errors. GDP errors, minority governments, election year and corporate tax rate changes can be associated with optimistic revenue forecasts. On the other hand, yield, inflation errors and VAT tax rate changes are associated with more prudent forecast behaviour.

Revenue Forecast Errors in the European Union

Afonso, António; Carvalho, Rui
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Trabalho em Andamento
Publicado em //2014 ENG
Relevância na Pesquisa
36.4%
In this paper we assess the determinants of revenue forecast errors for the EU-15 between 1999 and 2012, based on the forecasts published bi-annually by the European Commission. Our results show that personal income rate changes increase the revenue forecast errors: for forecasts made in t for t, increases in the corporate tax rate implies a decrease in the revenue forecast errors, in t+1 and t+2. Moreover, an increase in GDP forecast errors decreases revenue errors, whereas an increase in the inflation error will increase revenue errors. GDP errors, minority governments, election year and corporate tax rate changes can be associated with optimistic revenue forecasts. On the other hand, yield, inflation errors and VAT tax rate changes are associated with more prudent forecast behaviour.

Distributional Effects of the Panama Canal Expansion

Bussolo, Maurizio; De Hoyos, Rafael E.; Medvedev, Denis
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
26.02%
This paper uses a dynamic macro-micro framework to evaluate the potential distributional effects of the expansion of the Panama Canal. The results show that large macroeconomic effects are only likely during the operations phase (2014 and onward), and income gains are likely to be concentrated at the top of the income distribution. The additional foreign exchange inflows during the construction and operations phases result in the loss of competitiveness of non-Canal sectors (Dutch disease) and in higher domestic prices, which hurt the poorest consumers. In addition, the construction and operation activities increase demand for more educated non-farm formal workers. Although these changes encourage additional labor movement out of agriculture and from the informal to the formal sector, much of the impact is manifested in growing wage disparities and widening income inequality. Using the additional revenues of the Canal expansion in a targeted cash transfer program such as "Red de Oportunidades", the Government of Panama could offset the adverse distributional effects and eradicate extreme poverty.

Diaspora Effects in International Migration : Key Questions and Methodological Issues

Beine, Michel; Docquier, Frederic; Ozden, Caglar
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Artigo de Revista Científica
EN
Relevância na Pesquisa
26.19%
This paper reviews the existing literature on the impact of migrants networks on the patterns of international migration. It covers the theoretical channels at stake in the global effect of the networks. It identifies the key issues, namely the impact on size, selection and concentration of the migration flows. The paper also reviews the empirical hurdles that the researchers face in assessing the importance of networks. The key issues concern the choice of micro vs a macro approach, the definition of a network, the access to suitable data and the adoption of econometric methods accounting for the main features of those data. Finally, the paper reports a set of estimation outcomes reflecting the main findings of the macro approach.

Aid, Service Delivery, and the Millennium Development Goals in an Economy-wide Framework

Bourguignon, Francois; Diaz-Bonilla, Carolina; Lofgren, Hans
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
26.02%
In many developing countries, achieving the Millennium Development Goals (MDGs) by 2015 will require significant increases in expenditures on social services and in foreign assistance. It will also require careful planning of the sector allocation and sequencing of public spending. Especially for low-income countries, the challenges of the MDGs cannot be well understood unless sector issues are seen in the context of constraints at the macro level and in labor markets. To help countries analyze policies aimed at making progress toward the goals, the World Bank has developed a new tool, the Maquette for MDG Simulations (MAMS). Its originality is to fully integrate government services and their impact on the economy within an otherwise standard economy-wide dynamic framework. In comparison with existing approaches, MAMS offers three main advantages. First, the representation of the production of government services - such as health or education - takes into account demand as well as supply factors and the efficiency of these services. It also allows for interactions across the goals...

Structural Transformation and Rural Change Revisited : Challenges for Late Developing Countries in a Globalizing World

Losch, Bruno; Fréguin-Gresh, Sandrine; White, Eric Thomas
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
EN_US
Relevância na Pesquisa
26.02%
Structural transformation and rural change revisited challenges for a late developing country in a Globalizing World is an extremely thorough and important contribution to this renewal of structural economics. It significantly improves our understanding of rural economies and structural transformation, and it could not be timelier. With duration of five years (2006-2010), its objective was to analyze the processes of liberalization and economic integration and their impacts on agriculture and the rural sector of developing countries. It also aimed to illustrate the situation of rural economies in terms of income, diversification, and overall transformation. The results obtained make it possible to improve the dialogue between national and international partners and to provide orientations for the agricultural and rural policy debates. Relying on a methodology that articulated micro-data collection with a macro structural perspective, the program conducted extensive fieldwork to investigate livelihood strategies of rural households, and married the results with a thorough understanding of structural change. The book highlights recurring patterns of diversification and specialization along the process of structural transformation. Further...

EU11 Regular Economic Report, Issue #26, January 2013

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
26.23%
The economic report comprises two parts: a macroeconomic report and a special topic on the issue of economic policy interest. According to the first part, in 2012 the EU11 economies have outperformed the rest of the European Union (EU). In the middle of a recession in the Euro area, the EU11 region is set to expand by about 1 percent in 2012. However, the recession in the Euro area continues to dampen the EU11 economic performance. With an uncertain economic outlook in the medium term, the EU11 need to pursue decisive economic policies on two fronts to safeguard and accelerate their growth momentum. First, a prudent macro-policy stance should continue to shore up the confidence of financial markets. Second, the medium-term economic growth potential of the EU11 can only be realized if structural barriers to economic activity are removed. Second, the current and projected low fertility levels for Europe imply that the region will go through an unprecedented process of population aging, causing dramatic changes in the age structure of European societies. These changes in the age structure can have significant effects on economic growth. This paper analyzes the quantitative impact of the projected demographic changes on economic growth through their effect on the factors of production...

Guidebook on Capital Investment Planning for Local Governments

Kaganova, Olga
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
26.02%
The purpose of this guidebook is to provide practical advice to local governments (LGs) in developing countries on how to establish and maintain a process of planning and funding capital investment as a regular activity integrated with other activities of the LG and based on principles of good public management. The guidebook is addressed mainly to cities that have not yet established such a process or are interested in revising their current processes. The guidebook is written for decision makers and technical experts in LGs who are engaged or should be engaged in this process. The guidebook is designed primarily for urban LGs, but much of the information is useful for mixed or rural jurisdictions as well. This guidebook also is useful for the staffs of donor agencies and/or consultants who assist cities in municipal development projects. This guidebook is one instrument integrated with other World Bank urban programs and instruments that support sustainable urban development in developing countries within the framework of the World Bank Urban and Local Government Strategy. These other urban programs include the: (1) Urbanization Review Framework (URF)...

Economic Impact of the Political Crisis in Kenya : 2008 and Beyond

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
26.02%
This note reviews the performance of key sectors of the Kenyan economy after the power-sharing arrangement of 2008. Declines in the agricultural, manufacturing, and services sectors considered in this note are estimates. Data collected and information interpreted provides picture of the broad orders of magnitude anticipated of the economic decline. Assuming that the power-sharing arrangement holds and the country returns to normalcy, a base case economic growth rate of about 3 percent could be expected for 2008. If a credible set of measures is steadily implemented and the fiscal constraint is managed well, these could add 1-1.5 percentage points to the base case rate of 3 percent. On the downside, continued sporadic ethnic violence, inability of coalition government to reach key decisions, and lack of donor support could result in zero or negative growth rates in 2008. The note is organized as follows. Sections I and II present the macro effects of the crisis and sectoral developments which are then used to calculate the real output expectations in 2008...

Econometric Modelling for Short-Term inflation Forecasting in the Euro Area

Espasa, Antoni; Albacete, Rebeca
Fonte: John Wiley & Sons Publicador: John Wiley & Sons
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/article Formato: application/pdf; text/plain
Publicado em /08/2007 ENG
Relevância na Pesquisa
26.4%
This paper examines the problem of forecasting macro-variables which are observed monthly (or quarterly) and result from geographical and sectorial aggregation. The aim is to formulate a methodology whereby all relevant information gathered in this context could provide more accurate forecasts, be frequently updated, and include a disaggregated explanation as useful information for decision-making. The appropriate treatment of the resulting disaggregated data set requires vector modelling, which captures the long-run restrictions between the different time series and the short-term correlations existing between their stationary transformations. Frequently, due to a lack of degrees of freedom, the vector model must be restricted to a block-diagonal vector model. This methodology is applied in this paper to inflation in the euro area, and shows that disaggregated models with cointegration restrictions improve accuracy in forecasting aggregate macro-variables. Copyright © 2007 John Wiley & Sons, Ltd.

Real-Time Macro Monitoring and Fiscal Policy

Ley, Eduardo; Misch, Florian
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
26.23%
This paper considers the effects of inaccurate real-time output data on fiscal management, both with respect to budgetary planning and fiscal surveillance. As newer and better information becomes available, output data available in real time get revised and are likely to conflict with final figures that are only released some years later. Nevertheless, fiscal policy needs to be inevitably based on real-time figures. The paper develops a simple modeling framework to formalize these linkages and combines it with a newly compiled dataset from the International Monetary Fund's World Economic Outlook, comprising final and real-time output data for 175 countries, over a period of 17 years. We simulate the effects of output revisions on revisions of the overall balance, the structural balance and debt accumulation. It finds that output revisions may have substantial effects on the ability of governments to correctly estimate the overall balance and the structural fiscal balance in real time, and that the effects may imply substantial debt accumulation.

Infrastructure for Growth and Human Development in Pakistan : A Simulation Analysis of Fiscal Policy Options

Kinnunen, Jouko; Lofgren, Hans
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
26.19%
This paper explores the use of fiscal policy to accelerate development in Pakistan during the period 2013-2022, with a focus on the creation of fiscal space for increased investment in infrastructure, as well as on indicators related to macro and sectoral developments, Millennium Development Goals (MDGs), and education. In terms of method, the analysis relies on simulations with a Pakistani version of MAMS (Maquette for MDG Simulations), a Computable General Equilibrium model developed at the World Bank for country strategy analysis. The different policy scenarios point to the importance of selecting infrastructure projects with high productivity effects and the crucial role of financing in determining the net effects of expanded government infrastructure spending. Transfer programs can generate immediate welfare gains but are less effective over time unless they are designed to raise productivity, perhaps via improvements in health, nutrition, and education outcomes. A final high-growth scenario explores requirements and consequences for Pakistan's economy if...

How Small Should an Economy's Fiscal Deficit Be? A Monetary Programming Approach

Beckerman, Paul
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
26.23%
The author describes a spread-sheet planning model to help determine the government deficit consistent with a policymaker's "vector" of principal macroeconomic objectives (including real GDP growth, inflation, exchange rate, and international reserve accumulation). The model focuses on the monetary accounts, applying balance-of-payments forecasts formulated separately, but based on the same macroeconomic objectives. The model is a consistency exercise, intended as part of a broader consistency exercise for a given macro-economy. It offers one more perspective on the question of how large a government deficit should be - a perspective that can be used in conjunction with others. For each forecast period, the model determines consistent period-end and period-average stocks for the economy's outstanding central bank assets, and liabilities and, government obligations. I applies forecasting assumptions about interest rates to forecast central bank profit-and-loss flows, and takes account of these in determining the overall flow of resources that would be available to finance the government deficit. An annex describes a (purely illustrative) simulation carried out during 1999 for Ecuador.

Albania - The New Growth Agenda : A Country Economic Memorandum; Shqiperia - Axhenda e re e rritjes ekonomike : memorandum ekonomik i vendit

World Bank
Fonte: World Bank Publicador: World Bank
Tipo: Economic & Sector Work :: General Economy, Macroeconomics and Growth Study
ENGLISH
Relevância na Pesquisa
26.19%
Since 1998 Albania has experienced an important transformation that has lifted it into the ranks of upper middle income countries and has allowed a sharp reduction in poverty. Growth averaged more than 6 percent per year between 1998 and 2010, the best performance in Europe. This helped to reduce absolute poverty by half, with the headcount rate falling from 25 percent of the population in 2002 to 12 percent in 2008. The recent period of global turmoil has dampened growth somewhat but not as sharply as in many other countries. These challenges suggest the need for a 'new growth agenda' and this is the central topic of the report. The report is organized into four chapters. Chapter one gives a macroeconomic overview, examines the potential vulnerabilities of the economy and proposes measures for maintaining macro-financial stability of the economy. It further elaborates the growth challenges Albania faces as newly arrived upper middle income country. Chapter two describes the human capital needs of the new growth agenda and focuses on education and skills. Chapter three examines the backbone infrastructure...

The Naive Extrapolation Hypothesis and the Rosy-Gloomy Forecasts

Barmpoutis, Vasileios
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/06/2014
Relevância na Pesquisa
26.4%
I study the behavior and the performance of the long-term forecasts issued by financial analysts with respect to the Extrapolation Hypothesis. That hypothesis states that investors, extrapolating from the firms' recent performances, are too optimistic about growth and large firms and too pessimistic about value and small firms. I find that the forecasting errors are higher for the growth firms and large firms, thus providing support for the Extrapolation Hypothesis. However, in addition to the rosy picture of the growth and large firms, the forecasts of the value and small firms are not so gloomy in many cases. My analysis also reveals that expectations move together for all categories of book-to-market and all sizes of firms. I proceed by investigating some common factors that may influence analysts' long-term forecasts, including co-movement and excessive optimism. I find that macro factors beyond a firm's recent performance may influence the formation of expectations.

Macro-Economic Time Series Modeling and Interaction Networks

Kronberger, Gabriel; Fink, Stefan; Kommenda, Michael; Affenzeller, Michael
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
26.34%
Macro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on genetic programming and symbolic regression to identify variable interactions in large datasets. In the proposed approach multiple symbolic regression runs are executed for each variable of the dataset to find potentially interesting models. The result is a variable interaction network that describes which variables are most relevant for the approximation of each variable of the dataset. This approach is applied to a macro-economic dataset with monthly observations of important economic indicators in order to identify potentially interesting dependencies of these indicators. The resulting interaction network of macro-economic indicators is briefly discussed and two of the identified models are presented in detail. The two models approximate the help wanted index and the CPI inflation in the US.; Comment: The original publication is available at http://link.springer.com/chapter/10.1007/978-3-642-20520-0_11