Browsing Working Papers by Author "MARCELLINO, Massimiliano"

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Browsing Working Papers by Author "MARCELLINO, Massimiliano"

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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: The Banking and Distribution Sectors in a Small Open Economy DSGE Model  Author(s): DEÁK, Szabolcs; FONTAGNE, Lionel; MAFFEZZOLI, Marco; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: The recent crisis has emphasized the role of financial - macroeconomic interactions, and international trade in goods and services, in the transmission of the shocks. Both phenomena, closely related to the higher degree ...
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    Title: An Estimated DSGE Model of a Small Open Economy within the Monetary Union: Forecasting and structural analysis  Author(s): MARCELLINO, Massimiliano; RYCHALOVSKA, Yuliya Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: In this paper we lay out a two-region DSGE model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habit formation ...
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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: 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: 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: 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: 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 Reliability 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 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 ...
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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 ...
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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: Forecasting Government Bond Yields with Large Bayesian VARs  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Forecasting with Factor-augmented Error Correction Models  Author(s): MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
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    Title: Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due ...
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    Title: Survey Data as Coincident or Leading Indicators  Author(s): FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gian Luigi; PROIETTI, Tommaso Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO 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: MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF- VAR) approaches to model speci cation 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: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO 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: A Measure for Credibility: Tracking US Monetary Developments  Author(s): DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, Nicola Date: 2008-01-01 Type of Publication: Working Paper Series/Report no.: CEPR Discussion Papers Abstract: Our objective is to identify a way of checking empirically the extent to which expectations are de-coupled from inflation, how well they might be anchored in the long run, and at what level. This methodology allows us then ...
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    Title: Path Forecast Evaluation  Author(s): JORDÀ, Òscar; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...