Browsing by Author "MARCELLINO, Massimiliano"

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Browsing by Author "MARCELLINO, Massimiliano"

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    Title: Global economy report : January 2013  Author(s): LIMONTA, Daniele; MARCELLINO, Massimiliano; PANELLI, Francesca; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, Alberta Date: 2013 Type of Publication: Technical Report Series/Report no.: Global Governance Programme Abstract: The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
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    Title: Global economy report : April 2013  Author(s): LIMONTA, Daniele; MARCELLINO, Massimiliano; PANELLI, Francesca; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, Alberta Date: 2013 Type of Publication: Technical Report Series/Report no.: Global Governance Programme Abstract: The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
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    Title: Global economy report : February 2013  Author(s): LIMONTA, Daniele; MARCELLINO, Massimiliano; PANELLI, Francesca; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, Alberta Date: 2013 Type of Publication: Technical Report Series/Report no.: Global Governance Programme Abstract: The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
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    Title: A survey of econometric methods for mixed-frequency data  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
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    Title: Global economy report : May 2013  Author(s): LIMONTA, Daniele; MARCELLINO, Massimiliano; PANELLI, Francesca; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, Alberta Date: 2013 Type of Publication: Technical Report Series/Report no.: Global Governance Programme Abstract: The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
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    Title: Economic outlook for the Euro area in 2013 and 2014  Author(s): MARCELLINO, Massimiliano Date: 2013 Type of Publication: Technical Report Series/Report no.: EFN Report Abstract: • In 2013, the expansion of the world economy will be a bit stronger than in 2012. Growth in Asia should be more dynamic than in 2012, and the US economy appears to robustly withstand the restrictive and unstable US fiscal ...
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    Title: The multiscale causal dynamics of foreign exchange markets  Author(s): BEKIROS, Stelios; MARCELLINO, Massimiliano Date: 2013 Type of Publication: Article Abstract: This paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different timescales. It explores the nature and direction of causality among the ...
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    Title: Global economy report : March 2013  Author(s): LIMONTA, Daniele; MARCELLINO, Massimiliano; PANELLI, Francesca; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, Alberta Date: 2013 Type of Publication: Technical Report Series/Report no.: Global Governance Programme Abstract: The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
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    Title: Economic outlook for the Euro area in 2013 and 2014  Author(s): MARCELLINO, Massimiliano Date: 2012 Type of Publication: Technical Report Series/Report no.: EFN Report Abstract: - At present, economic growth is low in most regions of the world, but confidence indicators in countries such as China, Brazil and Russia have markedly risen in the final months of the year, suggesting that the world ...
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    Title: Economic outlook for the Euro area in 2012 and 2013  Author(s): MARCELLINO, Massimiliano Date: 2012 Type of Publication: Technical Report Series/Report no.: EFN Report Abstract: - In 2012 and 2013 we expect world production to grow modestly, since external conditions have deteriorated as growth dynamics appear to be declining in important emerging economies. However, the euro area crisis remains ...
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    Title: Common Drifting Volatility in Large Bayesian VARs  Author(s): CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...
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    Title: Economic outlook for the Euro area in 2012 and 2013  Author(s): MARCELLINO, Massimiliano Date: 2012 Type of Publication: Technical Report Series/Report no.: EFN Report Abstract: - In the Autumn of 2012, economic growth in the world is rather anemic, and it will probably stay very moderate in the rest of this year and in 2013. Production in most emerging markets countries will pick up during winter, ...
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    Title: An Estimated DSGE Model of a Small Open Economy within the Monetary Union: Forecasting and structural analysis  Author(s): MARCELLINO, Massimiliano; RYCHALOVSKA, Yuliya Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: In this paper we lay out a two-region DSGE model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habit formation ...
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    Title: A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
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    Title: Economic outlook for the Euro area in 2012 and 2013  Author(s): MARCELLINO, Massimiliano Date: 2012 Type of Publication: Technical Report Series/Report no.: EFN Report Abstract: - In the first months of 2012 there were some mild signs of improvement in the world economy, to a large degree due to political measures taken in the euro area at the end of 2011. In particular, the ECB secured financing ...
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    Title: The Banking and Distribution Sectors in a Small Open Economy DSGE Model  Author(s): DEÁK, Szabolcs; FONTAGNE, Lionel; MAFFEZZOLI, Marco; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: The recent crisis has emphasized the role of financial - macroeconomic interactions, and international trade in goods and services, in the transmission of the shocks. Both phenomena, closely related to the higher degree ...
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    Title: Markov-Switching MIDAS Models  Author(s): GUÉRIN, Pierre; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
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    Title: Economic outlook for the Euro area in 2012 and 2013  Author(s): MARCELLINO, Massimiliano Date: 2011 Type of Publication: Technical Report Series/Report no.: EFN Report Abstract: · At the end of 2011, prospects for the world are clouded. The main cause for concern is that the euro area crisis of confidence has not reached its peak yet. It is doubtful whether Italian and Spanish debt service would ...
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    Title: The Reliability of Real Time Estimates of the Euro Area Output Gap  Author(s): MARCELLINO, Massimiliano; MUSSO, Alberto Date: 2011 Type of Publication: Article Abstract: This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates ...
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    Title: MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2011 Type of Publication: Article Abstract: This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious ...