This paper deals with the usefulness of several measures of financial spreads (the slope of the yield curve, the … reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A … quarterly Bayesian vector autoregression model is used to assess the marginal forecasting power of financial spreads for real …

In this paper we assess whether monetary variables, which are observed with little delay, conveyed marginal information … on the state of the Italian economy in the 1990s, taking as a benchmark the forecasting errors generated by the quarterly … forecasting errors in monetary and real variables, thereby taking into account links that may not be accounted for by the modelï …

predictive power of the monetary aggregate M3 for inflation in recent years. This paper reassesses the information content of …

This paper documents the existence of a significant forecast error on crude oil futures, particularly evident since the …

In this paper a dynamic factor model with mixed frequency is proposed (FaMIDAS), where the past observations of high … empirical application for the Italian quarterly GDP the short-term forecasting performance is evaluated against other mixed …

The paper assesses the performance of medium-term forecasts of euro-area GDP and inflation obtained with a DSGE model … forecasting inflation, while the BVARX model fares better in forecasting …

Exponential smoothing models are an important prediction tool in macroeconomics, finance and business. This paper … presents the analytical forecasting properties of the random coefficient exponential smoothing model in the multiple source of … behaviour of the time series. The paper establishes the algebraic mapping between the state-space parameters and the implied …

This paper proposes the use of Bayesian model averaging (BMA) as a tool to select the predictors' set for bridge models …

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … to forecast revisions. Third, we design a pseudo out-of-sample forecasting exercise and examine point and density …