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Title:The Reliability of Real Time Estimates of the EURO Area Output Gap Author(s):MARCELLINO, Massimiliano
; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/06Abstract:This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including ...
; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/06Abstract:This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including ...
Title:A survey of econometric methods for mixed-frequency data Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract: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 ...
Date:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract: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 ...
Title:Common Drifting Volatility in Large Bayesian VARs Author(s):CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/08Abstract: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 ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/08Abstract: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 ...
Title:Markov-Switching MIDAS Models Author(s):GUERIN, Pierre; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract: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 ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract: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 ...
Title:Anchors for Inflation Expectations Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, NicolaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/10Abstract: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 ...
; VIEGI, NicolaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/10Abstract: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 ...
Title:The Multiscale Causal Dynamics of Foreign Exchange Markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract: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 ...
; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract: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 ...
Title:Empirical Simultaneous Confidence Regions for Path-Forecasts Author(s):JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract: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. ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract: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. ...
Title:Endogenous Monetary Policy Regimes and the Great Moderation Author(s):GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/22Abstract: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 ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/22Abstract: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 ...
Title:A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract: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 ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract: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 ...