Gerhard Rünstler

• Economist at European Central Bank

We study identification in Bayesian proxy VARs for instruments that consist of sparse qualitative observations indicating the signs of shocks in specific periods. We propose the Fisher discriminant regression and a non‐parametric sign concordance criterion as two alternative methods for achieving correct inference in this case. The former represent...

We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly correlated with a medium-term comp...

This paper investigates the interrelations between monetary, macro- and microprudential policies. It first provides an overview of the three policies, starting with their main instruments and objectives. Monetary policy aims at maintaining price stability and promoting balanced economic growth, macroprudential policies aim at safeguarding the stabi...

I estimate network dependence effects in the euro area unsecured overnight interbank market during the financial crisis. I use linear spatial regressions to estimate the dependence of individual banks' trading volumes (and interest rates) on the trading volumes (and interest rates) of their network neighbours. Neighbours are defined from past tradi...

Following a slight moderation in the third quarter, the global economy gathered speed again at the end of 2010. The strongest impetus is still being provided by the brisk expansion observed in Southeast Asia. The latest data are signalling that the recovery has continued in early 2011. Commodity prices have been rising sharply recently. The WIFO bu...

Following buoyant growth from autumn 2010 onwards, global economic activity appears to be easing somewhat. While Asia is still providing a strong impetus to growth, latest data for the USA and the euro area point to continuing expansion in the second quarter, albeit at a slower pace. Economic growth in Austria is also expected to weaken somewhat in...

Following a slight moderation in the third quarter, the global economy gathered speed again at the end of 2010. The strongest impetus is still being provided by the brisk expansion observed in Southeast Asia. The latest data are signalling that the recovery has continued in early 2011. Commodity prices have been rising sharply recently. The WIFO bu...

The strong momentum in global economic development observed since the autumn of 2010 is likely to moderate somewhat. Buoyant growth in Asia's emerging economies continues to provide a strong impetus, while the indicators for the USA and Europe point to ongoing, albeit slowing expansion in the second quarter. The Austrian economy is also expected to...

The momentum of the global economy has continued to weaken recently. The USA and the euro area registered only moderate quarterly growth of 0.2 percent each in the second quarter. The more unfavourable economic outlook, the controversial debate about the government debt ceiling in the USA, and the debt crisis in the euro area triggered very high un...

Based on a study conducted for the European Parliament, Bonn 2011 (144 pages)

Benefiting from the depreciation of the euro in the first half of the year, euro area exports should keep their upward trend in the remainder of 2010. At the same time, however, economic growth is set to slow down somewhat in the USA and in Asia. In 2011, the cyclical upswing in the euro area will maintain a moderate pace. While industrial activity...

We estimate and forecast growth in euro area monthly GDP and its components from the dynamic factor model of Doz et al. (2006), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates that the m...

The latest data on the global economic situation, while generally suggesting a continuation of the upswing, are somewhat mixed. Growth in the USA and in South-East Asia remains robust, although it appears to have moderated in the first quarter. Private demand in the euro area continues to be subdued. Austria's GDP grew at a seasonally and working d...

Global trade strengthened further in the early months of 2010. On the back of buoyant demand from Asia, a recovery in the USA and a lower euro exchange rate, euro area exports should advance at a healthy pace. With internal demand still sluggish, the cyclical upswing in the euro area will nevertheless remain muted for some time. Major risks derive...

The latest data on the global economic situation, while generally suggesting a continuation of the upswing, are somewhat mixed. Growth in the USA and in South-East Asia remains robust, although it appears to have moderated in the first quarter. Private demand in the euro area continues to be subdued. Austria's GDP grew at a seasonally and working d...

This paper performs a large-scale forecast evaluation exercise to assess the performance of different models for the short-term forecasting of GDP, resorting to large datasets from ten European countries. Several versions of factor models are considered and cross-country evidence is provided. The forecasting exercise is performed in a simulated rea...

The Austrian economy shrank by 2.8 percent in real terms in the first quarter of 2009 compared with the previous quarter, after a 0.4 percent drop in the fourth quarter of the previous year. Global trade continued to plummet in the first quarter, which strongly affected Austrian exports. As a result, investment also fell sharply. Private consumptio...

In the third quarter, Austrian GDP increased at a seasonally and working day adjusted rate of 0.9 percent quarter-on-quarter. Global economic conditions improved further: world trade and economic activity in the industrialised countries expanded for the first time in a year. Leading indicators point to a continuation of the upturn. WIFO's business...

The global economic situation eased in the second quarter of 2009, following the strong contraction in the last six months of 2008. Austria's real GDP also shrank by a mere 0.4 percent quarter-on-quarter (after –2.7 percent in the first quarter). Confidence indicators point towards a further improvement in the situation in the third quarter. Global...

Global economic conditions improved further in the third quarter of 2009: World trade and economic activity in the industrialised countries expanded for the first time in twelve months. Leading indicators point to a continuation of the upturn. The global economy will nevertheless remain fragile for quite some time. In Austria, GDP grew at a seasona...

The global economic situation eased in the second quarter, following the strong contraction in the last half-year. The USA and the euro area saw GDP shrink at a markedly slower pace compared to the two preceding quarters. The Austrian economy also contracted by a mere 0.4 percent in real terms quarter-on-quarter in the second quar-ter of 2009 (afte...

In the first quarter of 2009, the Austrian economy shrank at a seasonally and working day adjusted rate of 2.8 percent in real terms compared with the previous quarter (after –0.4 percent in the fourth quarter of the previous year). Hence, GDP was 3.6 percent below the year-earlier level (+0.0 percent in the fourth quarter). The situation on the la...

This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin, and Small (2005). The method consists in bridging quarterly GDP with monthly data via a regression on...

We estimate and forecast growth in euro area monthly GDP and its components from a dynamic factor model due to Doz et al. (2005), which handles unbalanced data sets in an efficient way. We extend the model to integrate interpolation and forecasting together with cross-equation accounting identities. A pseudo real-time forecasting exercise indicates...

This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small...

We derive forecast weights and uncertainty measures for assessing the roles of individual series in a dynamic factor model (DFM) for forecasting the euro area GDP from monthly indicators. The use of the Kalman smoother allows us to deal with publication lags when calculating the above measures. We find that surveys and financial data contain import...

Stochastic cycles are often incorporated in structural time series models to identify the cyclical components in macroeconomic time series. This paper proposes an extension of the multivariate stochastic cycle to account for phase shifts between individual cyclical components. The properties of the stochastic cycle allow phase shifts to be modelled...

The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly ind...

The paper investigates real-time output gap estimates for the euro area obtained from various unobserved components (UOC) models. Based on a state space modelling framework, three criteria are used to evaluate real-time estimates, i.e. standard errors, unbiasedness and conditional inflation forecasts. Real-time estimates from univariate moving aver...

Global economic activity has been slowing in recent months. Economic growth in the USA and in Europe was subdued in the second quarter, and activity in Asia was also less buoyant. Against this background, concerns about the high levels of sovereign debt of some industrialised countries increased; this sparked financial market tensions.

For the decomposition of GDP into its trend and cyclical components, Blanchard and Quah (1989) proposed to extract the cycle by imposing a long-run restriction on the moving average polynomial of a bivariate autoregressive process for GDP and a cyclical indicator. We investigate the robustness of this decomposition with respect to the specification...

The 1960's remain the golden age of scientific research in many scientists' mind. Scientific community could not be more content with the abundance of available funds and open posts. France is only one example of this expansion. For a better understanding, we decided to return to this period, in order to complete what had already been discussed abo...

The study uses a bivariate unobserved components model for output and the unemployment rate in order to examine stylised facts of the cyclical behaviour of unemployment and to estimate the size of persistence. The model is applied to the U.S., Canada, and major European economies. Estimates of cyclically adjusted unemployment rates are obtained tha...

The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular cycles are modelled by a latent factor, whose dynamics...

We propose a bivariate structural time series framework to decompose GDP and the unemployment rate into their trend, cyclical, and irregular components. We implement Okun's law by a generalised version of the common cycles restriction allowing for a phase shift between the two cycles and add a price-wage block to the system. We estimate by maximum...

Most empirical approaches to measuring potential output (PO) are based on variants of the method of trend extraction. This is also true for estimating PO on the basis of production functions. Structural approaches rely on trend extraction methods, in connection with determining potential employment or the long-term path of productivity for example....

The study investigates long-run relationships between futures and spot prices of cocoa on the New York CSCE and London Fox, respectively, and between both markets. By means of the Johansen Maximum Likelihood approach and the inclusion of interest rates as conditioning variables, the three hypothesized cointegrating vectors are obtained. It turns ou...

Following the strong rebound observed since the autumn of 2010, the pace of global economic activity is now moderating markedly. While Asia continues to provide a strong impetus to growth, the US economy grew only modestly in the second quarter, and the latest data for the euro area also signal a slowdown in the pace of expansion in the coming mont...

Following the strong rebound observed since the autumn of 2010, the pace of global economic activity is now moderating markedly. While Asia continues to provide a strong impetus to growth, the US economy grew only modestly in the second quarter, and the latest data for the euro area also signal a slowdown in the pace of expansion in the coming mont...

The paper extends the Shapiro-Stiglitz (1987) efficiency wage model by endogenising the probability of worker displacement as a function of the change in the firm's employment. This creates counter-cyclical variation in the wage mark-up and thereby generates real wage persistence. A New Keynesian DSGE model equipped with this extension replicates t...

This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with models designed to exploit early releases of monthly indicators for the nowcast and forecast of quarterly GDP growth. Amongst the latter, we consider small...