find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide … useful information. By contrast, incorporating expectations derived from financial market prices or those of firms and …

comprehensive real-time forecasting exercise for recessions in the US. Moreover, we propose a novel smooth transition modelling …

-based inflation expectations that are notoriously difficult to beat. …

find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide … useful information. By contrast, incorporating expectations derived from financial market prices or those of firms and …

the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …

one month of observed data. Moreover, we show that business and consumer expectations, international trade and labour …

VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding …

in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting …-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical …

comprehensive real-time forecasting exercise for recessions in the US. Moreover, we propose a novel smooth transition modelling …