Browsing Department of Economics (ECO) by Author "MARCELLINO, Massimiliano"

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Browsing Department of Economics (ECO) by Author "MARCELLINO, Massimiliano"

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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: 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: 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: 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: 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 ...
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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
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    Title: LSM: A DSGE model for Luxembourg  Author(s): DEÁK, Szabolcs; FONTAGNÉ, Lionel; MAFFEZZOLI, Marco; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: Luxembourg is a small open economy with a set of particular features, including rather limited competition in the domestic goods market, strong union power, and a segmented labor market for resident and non-resident workers. ...
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    Title: Econometric Analyses with Backdated Data: Unified Germany and the Euro Area  Author(s): ANGELINI, Elena; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: In this paper we compare alternative approaches for the construction of time series of macroeconomic variables for unified Germany prior to 1991, and then use them for the construction of corresponding time series for the ...
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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: Sectoral Survey-based Confidence Indicators for Europe  Author(s): CARRIERO, Andrea; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: We analyse a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe. Surveys are ...
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    Title: EUROMIND: A monthly indicator of the euro area economic conditions  Author(s): FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gianluigi; PROIETTI, Tommaso Date: 2011 Type of Publication: Article Abstract: Continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. The paper proposes EUROMIND, which is a new monthly indicator of the euro area economic conditions, ...
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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: The Multiscale Causal Dynamics of Foreign Exchange Markets  Author(s): BEKIROS, Stelios D.; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
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    Title: Survey Data as Coincident or Leading Indicators  Author(s): FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gian Luigi; PROIETTI, Tommaso Date: 2010-01-01 Type of Publication: Article Abstract: In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the ...
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    Title: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments  Author(s): KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010-01-01 Type of Publication: Article Abstract: The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor ...
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    Title: Factor-MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP  Author(s): MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2010-01-01 Type of Publication: Article Abstract: In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
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    Title: Empirical Simultaneous Confidence Regions for Path-Forecasts  Author(s): JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
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    Title: Endogenous Monetary Policy Regimes and the Great Moderation  Author(s): GALVAO, Ana Beatriz C.; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper contributes to the literature on the changing transmission mechanism of monetary policy by introducing a model whose parameter evolution explicitly depends on the conduct of monetary policy. We find that the ...
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    Title: The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap  Author(s): MARCELLINO, Massimiliano; MUSSO, Alberto Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper provides real time evidence on the usefulness of the euro area output gap as a leading indicator for inflation and growth. A genuine real-time data set for the euro area is used, including vintages of several ...
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    Title: Anchors for Inflation Expectations  Author(s): DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, Nicola Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We identify credible monetary policy with first, a disconnect between inflation and inflation expectations and second, the anchoring of the latter at the inflation target announced by the monetary authorities. We test ...