This paper investigates the usefulness of Italian consumer surveys as estimation and forecasting tool over the period 1982-2003. To this end, standard consumption equations are estimated and then compared, in terms of in-sample and out-of-sample predictive ability, with corresponding models...

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

This paper documents a new stylized fact of the U.S. greater macroeconomic stability of the last two decades or so. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Green book and the Survey of Professional Forecasters, we show that the...

This paper models an inflation forecast density framework that closely resembles actual policy makers behaviour regarding the determination of the modal point, the uncertainty and asymmetry in the inflation forecasts. The framework combines policy makers prior information about these parameters...

he purpose of this article is to analyse the dynamic trend of spatial dependence, which is not only contemporary but time-lagged in many socio-economic phenomena. Firstly, we show some of the commonly used exploratory spatial data analysis (ESDA) techniques and we propose other new ones, the...

Recently municipal household income has been estimated with spatial econometrics techniques explicitly including spatial autocorrelation in the econometric models. Spatial econometric tools have highly improved the explicative and predictive capacity of the models and more effort must be done in...

Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...

Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...

Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately...