Browsing Working Papers by Author "CARRIERO, Andrea"

Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano EUI affiliated

Date:2014Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2014/11Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...

Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano EUI affiliated

Date:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/13Abstract:Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...

Title:No arbitrage priors, drifting volatilities, and the term structure of interest rates Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, Massimiliano EUI affiliated

Date:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9848Abstract:We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispeciÖcation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the ...

Title:Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, Massimiliano EUI affiliated

Date:2013Type:Working PaperSeries/Number:CEPR Discussion Paper; 2013/9312

Title:Common Drifting Volatility in Large Bayesian VARs Author(s):CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano EUI affiliated

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:Common drifting volatility in large bayesian vars Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, Massimiliano EUI affiliated

Date:2012Type:Working PaperSeries/Number:CEPR Discussion Paper; 2012/8894; [Florence School of Regulation]

Title:Common drifting volatility in large bayesian vars Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, Massimiliano EUI affiliated

Date:2012Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2012/1206

Title:Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, Massimiliano EUI affiliated

Date:2012Type:Working PaperSeries/Number:Federal Reserve Bank of Cleveland Working Paper; 2012/1227; [Global Governance Programme]; [Global Economics]

Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...

Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract: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:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...

Title:A shrinkage instrumental variable estimator for large datasets Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/626Abstract:This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious ...

Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/634Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...

Title:Forecasting exchange rates with a large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2008Type:Working PaperSeries/Number:CEPR Discussion Paper; 2008/7008Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...

Title:Forecasting with dynamic models using shrinkage-based estimation Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2008Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2008/635Abstract:The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests ...

Title:Forecasting large datasets with reduced rank multivariate models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano EUI affiliated

Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/617Abstract: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 with the ...

Title:Monitoring the economy of the Euro area : a comparison of composite coincident indexes Author(s):CARRIERO, Andrea; MARCELLINO, Massimiliano EUI affiliated

Date:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/319Abstract:Monitoring the current status of the economy is quite relevant for policy making but also for the decisions of private agents, consumers and firms. Since it is difficult to identify a single variable that provides a good ...

Title:A comparison of methods for the construction of composite coincident and leading indexes for the UK Author(s):CARRIERO, Andrea; MARCELLINO, Massimiliano EUI affiliated

Date:2007Type:Working PaperSeries/Number:Queen Mary University of London; Working Papers; 2007/590Abstract:In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of ...

Title:Sectoral survey-based confidence indicators for Europe Author(s):CARRIERO, Andrea; MARCELLINO, Massimiliano EUI affiliated

Date:2007Type:Working PaperSeries/Number:IGIER Working Paper; 2007/320Abstract:In this paper we analyze 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 as ...