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Title:Economic outlook for the Euro area in 2014 and 2015 Editor(s):MARCELLINO, Massimiliano
Date:2014Type:Technical ReportSeries/Number:EFN Report; Autumn 2014Abstract:• In autumn 2014, world production continues to be expanding at a moderate rate, a bit faster than at the beginning of the year. A strong upswing of the world economy is, however, not in sight: the US upswing continues but ...
Date:2014Type:Technical ReportSeries/Number:EFN Report; Autumn 2014Abstract:• In autumn 2014, world production continues to be expanding at a moderate rate, a bit faster than at the beginning of the year. A strong upswing of the world economy is, however, not in sight: the US upswing continues but ...
Title:Economic outlook for the Euro area in 2015 and 2016 Editor(s):MARCELLINO, MassimilianoDate:2015Type:Technical ReportSeries/Number:EFN Report; Summer 2015Abstract:• External conditions for the euro area economy are still favourable, albeit somewhat less so than at the beginning of the year. Oil prices are by more than a third lower than they were on average in 2014, but about 10 USD ...
Date:2015Type:Technical ReportSeries/Number:EFN Report; Summer 2015Abstract:• External conditions for the euro area economy are still favourable, albeit somewhat less so than at the beginning of the year. Oil prices are by more than a third lower than they were on average in 2014, but about 10 USD ...
Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 589-612
Type:ArticleAbstract: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, ...
; MASTEN, IgorDate:2014Citation:
Title:Global economy report : October 2014 Editor(s):LIMONTA, Daniele; MARCELLINO, Massimiliano; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, AlbertaDate:2014Type:Technical ReportSeries/Number:Global Governance ProgrammeAbstract:The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
; STANZINI, Alessandro; TRAVERSO, Maria Eleonora; MARTINO, AlbertaDate:2014Type:Technical ReportSeries/Number:Global Governance ProgrammeAbstract:The objective of the Report is to provide an analysis of the current and expected macroeconomic and financial conditions at the global level, with also a focus on key economic areas such as Europe, the USA and ASIA.
Title:Economic outlook for the Euro area in 2016 and 2017 Editor(s):MARCELLINO, MassimilianoDate:2016Type:Technical ReportSeries/Number:EFN Report; Summer 2016Abstract:-- Short run consequences of Brexit for the euro area economy mainly depend on the effects on confidence in the stability of the European Union and the currency area in particular. Anti-European (or indeed anti-globalization) ...
Date:2016Type:Technical ReportSeries/Number:EFN Report; Summer 2016Abstract:-- Short run consequences of Brexit for the euro area economy mainly depend on the effects on confidence in the stability of the European Union and the currency area in particular. Anti-European (or indeed anti-globalization) ...
Title:Forecasting large datasets with reduced rank multivariate models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate: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 ...
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, MassimilianoDate: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 ...
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, MassimilianoDate: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 ...
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: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 ...
Date: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 ...
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 ...
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 ...