The recent crisis has emphasized the role of financial - macroeconomic interactions, and international trade in goods and services, in the transmission of the shocks. Both phenomena, closely related to the higher degree of globalization, are very relevant for small open economies, and...

Nowadays a considerable amount of information on the behavior of the economy is readily available, in the form of large datasets of macroeconomic variables. Central bankers can be expected to base their decisions on this very large information set, so that it can be difficult to track their...

In this paper we evaluate the relative performance of linear, non-linear and time-varying models for about 500 macroeconomic variables for the countries in the Euro area, using real-time forecasting methodology. It turns out that linear models work well for about 35% of the series under...

A common finding in the empirical literature on the validity of purchasing power parity (PPP) is that it holds when tested for in panel data, but not in univariate (i.e. country specific) analysis. The usual explanation for this mismatch is that panel tests for unit roots and cointegration are...

This paper investigates time series methods for forecasting four Euro-area wide aggregate variables: real GDP, industrial production, price inflation, and the unemployment rate. We consider two empirical questions arising from this problem. First, is it better to build aggregate Euro-area wide...

This paper is a general investigation of temporal aggregation in time series analysis. It encompasses traditional research on time aggregation as a particular case and extends the analysis to irregular intervals of aggregation. The Data Generating Process is allowed to evolve at regular,...

This paper studies the impact of public infrastructure on economic perfor-mance. We employ three different methodologies to estimate the returns to public investment. First, we relate growth in total factor productivity to accumulation of public capital. Second, we assess the role of public...

Index tracking requires to build a portfolio of stocks (a replica) whose behavior is as close as possible to that of a given stock index. Typically, much fewer stocks should appear in the replica than in the index, and there should be no low frequency (persistent) components in the tracking...

This paper addresses the issue of whether and by how much public capital can enhance economic performance. We apply different methodologies to Italian regional data for the period 1970-1994. The results are presented for Italy as a whole and for different macroregions, and for individual...

The accession of ten countries into the European Union makes the forecasting of their key macroeconomic indicators such as GDP growth, inflation and interest rates an exercise of some importance. Because of the transition period, only short spans of reliable time series are available which...