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Ecb interest rates: a predictive model

Author

Listed:
  • Vincenzo D’Apice

    (ABI)

  • Francesco Masala

    (ABI)

  • Pierluigi Morelli

    (ABI)

Abstract

Euro area economic recovery is starting to create the conditions for reducing monetary stimulus. We create a predictive model in order to forecast the probability of Ecb moving interest rates, based on consumers’ confidence index, expected inflation and an index of systemics stress in the Euro area. The model shows that the probability of an Ecb interest rate rise has gone up to 36% while it was only 4% at the beginning of 2017

Suggested Citation

  • Vincenzo D’Apice & Francesco Masala & Pierluigi Morelli, 2018. "Ecb interest rates: a predictive model," BANCARIA, Bancaria Editrice, vol. 3, pages 42-46, March.
    • Handle: RePEc:ban:bancar:v:3:y:2018:m:march:p:42-46
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    File URL: http://www.bancaria.it/en/ecb-interest-rates-a-predictive-model
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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