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Title:The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap Author(s):MARCELLINO, Massimiliano
; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/15Abstract: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 ...
; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/15Abstract: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 ...
Title:Anchors for Inflation Expectations Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, NicolaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/10Abstract: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 ...
; VIEGI, NicolaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/10Abstract: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 ...
Title:Survey Data as Coincident or Leading Indicators Author(s):FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gian Luigi; PROIETTI, TommasoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/19Abstract: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 ...
; MAZZI, Gian Luigi; PROIETTI, TommasoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/19Abstract: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:In Plato's cave : sharpening the shadows of monetary announcements Author(s):GALLO, Giampiero M.; MARCELLINO, MassimilianoDate:1996Type:Working PaperSeries/Number:EUI ECO; 1996/25
Date:1996Type:Working PaperSeries/Number:EUI ECO; 1996/25
Title:Dating the Euro Area Business Cycle Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/24
; PROIETTI, TommasoDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/24
Title:The Transmission Mechanism in a Changing World Author(s):ARTIS, Michael J.; GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/18
Date:2003Type:Working PaperSeries/Number:EUI ECO; 2003/18
Title:The Reliability of Real Time Estimates of the EURO Area Output Gap Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/06Abstract: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 ...
; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/06Abstract: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 ...
Title:Markov-Switching MIDAS Models Author(s):GUERIN, Pierre; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract: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 ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract: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 ...
Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate: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 ...
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 Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...