High-frequency financial and economic activity indicators are usually time aggregated before forecasts of low-frequency macroeconomic events, such as recessions, are computed. We propose a mixed-frequency modelling alternative that delivers high-frequency probability forecasts (including their...

Forecasting the inflation path is an important task for central banks in an inflation targeting regime. Therefore, central banks must continuously evaluate the forecasting accuracy of the models used to generate inflation forecasts. This paper evaluates the performance of most of the models that...

Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...

This paper proposes a methodology for constructing a Financial Conditions Indicator (FCI) based on factor analysis and the approaches of Brave and Butters (2011) and Aramonte et al. (2013). A selected set of variables is used and their information content aggregated into a single index that...

Aggregate demand forecasting, also known as nowcasting when it applies to current quarter assessment, is of notable interest to policy makers. This paper concentrates on the empirical methods dealing with mixed-frequency data. In particular, it focuses on the MIDAS approach and its later...

The primary goal of this paper is to describe several models that are currently used at the National Bank of the Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models (aggregated and disaggregated approach), three equation...

We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...