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

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 …

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 …

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

. Drawing on the experience gained with a macroeconometric model at the Bank of Italy, in this paper we describe the uses to …

at the Bank of Italy, this paper argues that these views stem largely from a biased perception of how forecasting works …The forecasting profession, especially when producing forecasts intended to support economic policy, does not currently … forecasting process which is criticised, on the grounds that it prevents a proper evaluation of any information concerning changes …

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 …