Title:The multiscale causal dynamics of foreign exchange markets
Author(s):BEKIROS, Stelios; MARCELLINO, MassimilianoDate:2013Type of Publication:ArticleAbstract: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 ...
Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area
Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Type of Publication:ArticleAbstract: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 ...
Title:Sectoral Survey-based Confidence Indicators for Europe
Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract: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 ...
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract: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 ...
Title:EUROMIND: A monthly indicator of the euro area economic conditions
Author(s):FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gianluigi; PROIETTI, TommasoDate:2011Type of Publication:ArticleAbstract: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, ...
Title:LSM: A DSGE model for Luxembourg
Author(s):DEÁK, Szabolcs; FONTAGNÉ, Lionel; MAFFEZZOLI, Marco; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract: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. ...
Title:Econometric Analyses with Backdated Data: Unified Germany and the Euro Area
Author(s):ANGELINI, Elena; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract: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 ...
Title:The Reliability of Real Time Estimates of the Euro Area Output Gap
Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2011Type of Publication:ArticleAbstract: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 ...
Title:Survey Data as Coincident or Leading Indicators
Author(s):FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gian Luigi; PROIETTI, TommasoDate:2010-01-01Type of Publication:ArticleAbstract: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 ...
Title:Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010-01-01Type of Publication:ArticleAbstract: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 ...
Title:Factor-MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010-01-01Type of Publication:ArticleAbstract: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, ...
Title:Cross-sectional Averaging and Instrumental Variable Estimation with Many Weak Instruments
Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010Type of Publication:ArticleAbstract:The present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte ...
Title:Path Forecast Evaluation
Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2010Type of Publication:ArticleAbstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous ...
Title:Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison For German Gdp*
Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010Type of Publication:ArticleAbstract: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, ...
Title:A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009-01-01Type of Publication:ArticleAbstract:The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, because of the increased availability of large data sets. In this article we propose a new parametric ...
Title:Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the United States
Author(s):BECK, Guenter W.; HUBRICH, Kirstin; MARCELLINO, MassimilianoDate:2009Type of Publication:ArticleAbstract:Inflation differentials across regions of an integrated economy can reflect a proper response to demand and supply conditions, but can also indicate distortions with negative welfare implications. Using a novel dataset of ...
Title:Forecasting Exchange Rates with a Large Bayesian VAR
Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Type of Publication:ArticleAbstract:Models based on economic theory have serious problems forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:A Linear Benchmark for Forecasting GDP Growth and Inflation?
Author(s):MARCELLINO, MassimilianoDate:2008-01-01Type of Publication:ArticleAbstract:Predicting the future evolution of GDP growth and inflation is a central concern in economics. Forecasts are typically produced either from economic theory-based models or from simple linear time series models. While a ...
Title:Factor Analysis in a Model with Rational Expectations
Author(s):BEYER, Andreas; FARMER, Roger E. A.; HENRY, Jérôme; MARCELLINO, MassimilianoDate:2008-01-01Type of Publication:ArticleAbstract:DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation ...