Browsing Working Papers by Author "MARCELLINO, Massimiliano"
Now showing items 1-20 of 102
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Title:An overview of the factor-augmented error-correction model Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2015Type:Working PaperSeries/Number:University of Birmingham; Department of Economics Discussion Papers; 2015/03Abstract:The Factor-augmented Error Correction Model (FECM) generalizes the factoraugmented VAR (FAVAR) and the Error Correction Model (ECM), combining errorcorrection, cointegration and dynamic factor models. It uses a larger set ...
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Title:Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs Author(s):MARCELLINO, Massimiliano; SIVEC, VasjaDate:2015Type:Working PaperSeries/Number:CEPR Discussion Paper; 2015/10610Abstract:Large scale factor models have been often adopted both for forecasting and to identify structural shocks and their transmission mechanism. Mixed frequency factor models have been also used in a reduced form context, but ...
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Title:Factor based identification-robust inference in IV regressions Author(s):KAPETANIOS, George; KHALAF, Lynda; MARCELLINO, MassimilianoDate:2015Type:Working PaperSeries/Number:CEPR Discussion Paper; 2015/10390
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Title:No arbitrage priors, drifting volatilities, and the term structure of interest rates Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, MassimilianoDate: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 ...
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Title:Mixed frequency structural VARs Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:Norges Bank Working Paper; 2014/01Abstract:A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse ...
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Title:Structural FECM : cointegration in large-scale structural FAVAR models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9858Abstract:Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The ...
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Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate: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, ...
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Title:Have standard VARs remained stable since the crisis? Author(s):AASTVEIT, Knut Are; CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, MassimilianoDate: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, ...
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Title:Markov-switching Mixed-Frequency VAR models Author(s):FORONI, Claudia; GUERIN, Pierre; MARCELLINO, MassimilianoDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9815Abstract:This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample ...
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Title:EuroMInd-C : a disaggregate monthly indicator of economic activity for the Euro Author(s):GRASSI, Stefano; PROIETTI, Tommaso; FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, GianluigiDate:2013Type:Working PaperSeries/Number:CEIS Tor Vergata Research Paper Series; 2013/287Abstract:The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance ...
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Title:Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:CEPR Discussion Paper; 2013/9312
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Title:Macroeconomic forecasting during the great recession : the return of non-linearity? Author(s):FERRARA, Laurent; MARCELLINO, Massimiliano; MOGLIANI, MatteoDate:2013Type:Working PaperSeries/Number:CEPR Discussion Paper; 2013/9313
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Title:Regime switches in the risk-return trade-off Author(s):GHYSELS, Eric; GUÉRIN, Pierre; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:Bank of Canada Working Paper; 2013/51
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Title:Regime switches in the risk-return trade-off Author(s):GHYSELS, Eric; GUÉRIN, Pierre; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:CEPR Discussion Paper; 2013/9698
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Title:Mixed frequency structural models : estimation, and policy analysis Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:Norges Bank Working Paper; 2013/15
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Title:Time variation in macro-financial linkages Author(s):EICKMEIER, Sandra; MARCELLINO, Massimiliano; PRIETO, EstebanDate:2013Type:Working PaperSeries/Number:CEPR Discussion Paper; 2013/9436
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Title:Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility Author(s):MARCELLINO, Massimiliano; PORQUEDDU, Mario; VENDITTI, FabrizioDate:2013Type:Working PaperSeries/Number:Bank of Italy; Economic Working Paper; 2013/896
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Title:Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility Author(s):MARCELLINO, Massimiliano; PORQUEDDU, Mario; VENDITTI, FabrizioDate:2013Type:Working PaperSeries/Number:CEPR Discussion Paper; 2013/9334
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Title:An estimated DSGE model of a small open economy within the Monetary Union : forecasting and structural analysis Author(s):RYCHALOVSKA, Juliya; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:EcoMod; 2013/5302
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Title:Time variation in macro-financial linkages Author(s):PRIETO, Esteban; EICKMEIER, Sandra; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:Deutsche Bundesbank; Research Centre Discussion Papers; 2013/213