We show how monetary aggregates can be usefully incorporated in forecasts of inflation. This requires fully disregarding the high-frequency fluctuations blurring the money/inflation relation, i.e., the projection of inflation onto monetary aggregates must be restricted to the low frequencies....

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...

This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted where the structural shocks are identified by taking into account the long-run properties of the model,...

We explore the use of nowcasts from the Philadelphia Survey of Professional Forecasters as a starting point for macroeconomic forecasting. Specifically, survey nowcasts are treated as anadditional observation of the time series of interest. This simple approach delivers enhanced model...

This paper presents a macroeconomic model with some microfoundations for a small open economy. The main purpose is the simulation of external environment and fiscal policy shocks. The model includes sufficiently disaggregated public sector and household disposable income accounts and it...

Many business cycle indicators present asymmetric features that have long been recognized in economics. Basically the contraction periods in an economy are more violent but also more short-lived than the expansion periods, where the dynamics of GDP/GNP growth present asymmetric cyclical...

The issue of parameter identification arises whenever structural models are estimated. This paper develops a simple condition for local identification in linearized DSGE models. The condition is necessary and sufficient for identification with likelihood-based methods under normality, or with...

This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st 2008. The results presented may allow for a better understanding of consumer habits and for adjusting...

This paper presents a new approach to parameter identification analysis in DSGE models wherein the strength of identification is treated as property of the underlying model and studied prior to estimation. The strength of identification reflects the empirical importance of the economic features...

We explore the use of univariate low-frequency filters in macroeconomic forecasting. This amounts to targeting only specific fluctuations of the time series of interest. We show through simulations that such approach is warranted and, using US data, we confirm empirically that consistent gains...